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...

Full description

Saved in:
Bibliographic details
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 2009
Related: Scottish Institute for Research in Economics (SIRE)
Data of publication: 2009
Series: SIRE Discussion Papers
Subjects:
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
Database information Databases - DBIS