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,...