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An Embarrassment of Riches: Forecasting Using Large Panels

Jana Eklund and Sune Karlsson ()

Economics from Department of Economics, Central bank of Iceland

Abstract: The 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.

New Economics Papers: this item is included in nep-ets and nep-for
Date: 2007-05
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