A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...

In recent years, the field of financial econometrics has seen tremendous gains in the amount of data available for use in modeling and prediction. Much of this data is very high frequency, and even 'tick-based', and hence falls into the category of what might be termed big data. The availability...