An Embarrassment of Riches: Forecasting Using Large Panels
AbstractThe problem of having to select a small subset of predictors from a large number of useful variables can be circumvented nowadays in forecasting. One possibility is to efficiently and systematically evaluate all predictors and almost all possible models that these predictors in combination can give rise to. The idea of combining forecasts from various indicator models by using Bayesian model averaging is explored, and compared to diffusion indexes, another method using large number of predictors to forecast. In addition forecasts based on the median model are considered.
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Bibliographic InfoPaper provided by Department of Economics, Central bank of Iceland in its series Economics with number wp34.
Date of creation: May 2007
Date of revision:
Other versions of this item:
- Eklund, Jana & Karlsson, Sune, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Working Papers 2007:1, Örebro University, School of Business.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-ETS-2008-02-09 (Econometric Time Series)
- NEP-FOR-2008-02-09 (Forecasting)
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