Cao, Jianfei; Gu, Chris; Wang, Yike - In: Macroeconomic forecasting in the era of big data : …, (pp. 229-266). 2020
Factor models are widely used in macroeconomic forecasting. With large datasets, factor models are particularly useful due to their intrinsic dimension reduction. In this chapter, we consider the forecasting problem using factor models, with special consideration to large datasets. In factor...