We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …. -- Macroeconomic forecasting ; factor models ; forecast combination ; principal components ; partial least squares ; Bayesian ridge …

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in … number of factors in the forecasting regression, the benefits of combining factor-based forecasts and the choice of the …