We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …. -- Macroeconomic forecasting ; factor models ; forecast combination ; principal components ; partial least squares ; Bayesian ridge …

-of-sample ; prediction ; testing ; multiple model comparisons ; inflation forecasting …

1929 and 1933. Doubts surrounding GDP estimates for the 1920s would call into question conventional VAR techniques. We … few factors and inserting these into a monetary policy VAR. We work in a Bayesian framework and apply MCMC methods to …

and parameter estimates. -- Forecasting ; Business Cycles ; Heterogeneous Beliefs ; Forecast Distribution ; Model …

-of-sample and pseudo out-of-sample forecasts are presented. -- Multi-country model ; Forecasting ; Bayesian estimation …

The good forecasting performance of factor models has been well documented in the literature. While many studies focus … on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at … disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use …

the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our …