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A Review of Forecasting Techniques for Large Data Sets

Jana Eklund and George Kapetanios ()
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George Kapetanios: Queen Mary, University of London, http://www.econ.qmul.ac.uk/staff/georgekapetanios.html

No 625, Working Papers from Queen Mary University of London, School of Economics and Finance

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

Keywords: Macroeconomic forecasting; Factor models; Forecast combination; Principal components (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 E47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
Date: 2008-03
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