Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …

forecasting model to change over time. We find that dynamic model averaging leads to substantial forecasting improvements over … provide evidence on which sets of predictors are relevant for forecasting in each period. …

with CPI inflation we find the model to work well, yielding more sensible measures of trend inflation and forecasting …

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …

nowcasting performance relative to a linear mixed frequency VAR. … additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of …

nowcasting performance relative to a linear mixed frequency VAR. … additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of …

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …

There is a large literature on forecasting inflation using the generalized Phillips curve (i.e. using forecasting … forecasting model to change over time (i.e. different sets of predictors can be relevant at different points in time). In an … empirical exercise involving quarterly US inflation, we fi…nd that dynamic model averaging leads to substantial forecasting …

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …

regional economic data. Many of these data series could be useful for nowcasting regional economic activity, but they suffer … from a short (albeit constantly expanding) time series which makes incorporating them into nowcasting models problematic …. Regional nowcasting is already challenging because the release delay on regional data tends to be greater than that at the …