No. 625: A Review of Forecasting Techniques for Large Data Sets
Jana Eklund ,
Bank of England
George Kapetanios ,
Queen Mary, University of London
March 1, 2008
Abstract
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
J.E.L classification codes: C22, C53, E37, E47
Keywords:Macroeconomic forecasting, Factor models, Forecast combination, Principal components