of prediction using "big data". We add to this literature by analyzing whether "big data" are useful for modelling low … a forecasting "horse-race" using prediction models constructed using a variety of model specification approaches, factor … estimation methods, and data windowing methods, in the context of the prediction of 11 macroeconomic variables relevant for …

of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for … approaches, and benchmark econometric models; and all used in the prediction of 11 key macroeconomic variables relevant for … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …

methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other windowing approaches in our experiments, prediction models …-spread variables in nonlinear prediction specification. …