methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other windowing approaches in our experiments, prediction models …-spread variables in nonlinear prediction specification. …

of prediction using big data. In this paper, our over-arching question is whether such big data are useful for modelling … benchmark econometric models; and all used in the prediction of 11 key macroeconomic variables relevant for monetary policy …, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with shrinkage. This result provides …

measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … well as a discussion of the stochastic properties of seasonal unit root models. Our prediction experiments are based on … of greater than one-step ahead, our SUR model perform poorly when used for prediction, suggesting that parameter …

consistent with micro evidence on housing choices. We find that a decline in the rate of household formation, increased delay in …