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Revisiting useful approaches to data-rich macroeconomic forecasting

Groen, Jan J. J. (contributor); … - 2008

We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...

Persistent link: https://www.econbiz.de/10003781548

Forecasting using predictive likelihood model averaging

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Economics letters 91 (2006) 3, pp. 373-379

Persistent link: https://www.econbiz.de/10003333638

A real time evaluation of Bank of England forecasts of inflation and growth

Groen, Jan J. J.; Kapetanios, George; Price, Simon - In: International journal of forecasting 25 (2009) 1, pp. 74-80

Persistent link: https://www.econbiz.de/10003833266

Forecasting financial crises and contagion in Asia using dynamic factor analysis

Cipollini, Andrea; Kapetanios, George - In: Journal of empirical finance 16 (2009) 2, pp. 188-200

Persistent link: https://www.econbiz.de/10003839250

Forecast combination and the Bank of England's suite of statistical forecasting models

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Economic modelling 25 (2008) 4, pp. 772-792

Persistent link: https://www.econbiz.de/10003791281

Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10003865998