In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

This paper investigates the usefulness of the factor model, which extracts latent information from a large set of data, in forecasting Korean macroeconomic variables. In addition to the well-known principal component analysis (PCA), we apply sparse principal component analysis (SPCA) to build a...

This paper investigates the usefulness of the factor model, which extracts latent information from a large set of data, in forecasting Korean macroeconomic variables. In addition to the well-known principal component analysis (PCA), we apply sparse principal component analysis (SPCA) to build a...

We utilize mixed frequency factor-MIDAS models for the purpose of carrying out pastcasting, nowcasting, and forecasting experiments using real-time data. We also introduce a new real-time Korean GDP dataset, which is the focus of our experiments. The methodology that we utilize involves first...