UK Macroeconomic Forecasting with Many Predictors : Which Models Forecast Best and When Do They Do So?

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors reflecting different blocks of variables (e.g. a price block, a housing block, a financial block, etc.). However, a forecasting model which simply inc...

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Bibliographic details
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: University of Strathclyde
Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
OpenAIRE
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