School of Economics and Finance

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

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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