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A Review of Forecasting Techniques for Large Data Sets

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  • Jana Eklund

    ()
    (Bank of England)

  • George Kapetanios

    ()
    (Queen Mary, University of London)

Abstract

This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp625.pdf
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Bibliographic Info

Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 625.

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Date of creation: Mar 2008
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Handle: RePEc:qmw:qmwecw:wp625

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Related research

Keywords: Macroeconomic forecasting; Factor models; Forecast combination; Principal components;

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References

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  1. Kapetanios, G. & Labhard, V. & Price, S., 2007. "Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation," Working Papers 07/15, Department of Economics, City University London.
  2. Ralf Brüggemann & Hans-Martin Krolzig & Helmut Lütkepohl, 2003. "Comparison of Model Reduction Methods for VAR Processes," Economics Papers 2003-W13, Economics Group, Nuffield College, University of Oxford.
  3. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
  4. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, September.
  5. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  6. Kapetanios, George & Labhard, Vincent & Price, Simon, 2006. "Forecasting using predictive likelihood model averaging," Economics Letters, Elsevier, vol. 91(3), pages 373-379, June.
  7. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary, University of London, School of Economics and Finance.
  8. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  9. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
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Citations

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Cited by:
  1. Bell, Venetia & Co, Lai Wah & Stone, Sophie & Wallis, gavin`, 2014. "Nowcasting UK GDP growth," Bank of England Quarterly Bulletin, Bank of England, vol. 54(1), pages 58-68.
  2. Liu, Philip & Matheson, Troy & Romeu, Rafael, 2012. "Real-time forecasts of economic activity for Latin American economies," Economic Modelling, Elsevier, vol. 29(4), pages 1090-1098.
  3. Alexander Chudik & Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
  4. Teresa Buchen & Klaus Wohlrabe, 2013. "Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany," CESifo Working Paper Series 4148, CESifo Group Munich.

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