Why should we be interested in macroeconomic survey expectations? This important book offers an in-depth treatment of this question from a point of view not covered in existing works on time-series econometrics and forecasting. Clements presents the nature of survey data, addresses some of the...

This article explains the basis for a theory of economic forecasting developed over the past decade by the authors. The research has resulted in numerous articles in academic journals, two monographs, Forecasting Economic Time Series, 1998, Cambridge University Press, and Forecasting...

Why should we be interested in macroeconomic survey expectations? This important book offers an in-depth treatment of this question from a point of view not covered in existing works on time-series econometrics and forecasting. Clements presents the nature of survey data, addresses some of the...

This paper investigates the source of variation in emerging market (EM) local currency bond risk premium by employing panel fixed effects regression model. Moreover, we use the methodology of dynamic factor model for large datasets to investigate the possible linkages between excess bond return...

In this paper, we contribute to the nascent literature on nowcasting and forecasting GDP in emerging market economies using big data methods. This is done by analyzing the usefulness of various dimension reduction, machine learning and shrinkage methods including sparse principal component...