This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

response analysis, and the model as a whole to be an economically and statistically superior forecasting tool over relatively …

exchange can be usefully exploited in forecasting future spot exchange rates. I use signal-extraction techniques, based on …

longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared forecast error is about 8% at …