In this paper, we empirically assess the predictive accuracy of a large group of models that are specified using principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least angle regression and related methods. Our results suggest...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

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 this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

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...

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". We add to this literature by analyzing whether "big data" are useful for modelling low frequency macroeconomic variables such as unemployment,...

We utilize mixed frequency factor-MIDAS models for the purpose of carrying out pastcasting, nowcasting, and forecasting experiments using real-time data. We also introduce a new real-time Korean GDP dataset, which is the focus of our experiments. The methodology that we utilize involves first...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods. Our results suggest that model averaging does...