This paper develops a method for forecasting a nonstationary time series, such as GDP, using a set of high-dimensional panel data as predictors. To this end, we use what is known as a factor augmented regression [FAR] model that contains a small number of estimated factors as predictors; the...

We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a factor augmented regression [FAR] model. The predictors in the model includes a small number of factors generated to extract most of the information in a set of panel data on a...

This paper employs the parametric probit regression model, estimates the probability of default (PD) of Australian mortgages, and examines the nature of the relationships between the PD and some loan level variables such as loan-to-value ratio (LVR), loan documentation, loan type, loan purpose,...