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

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

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising existing alternatives, namely, factor models, large scale...