This dissertation comprises two essays in macroeconomic forecasting. The first essay empirically examines approaches to combining factor models and robust estimation, and presents the results of a "horse-race" in which mean-square-forecast-error (MSFE) "best" models are selected, in the context of a variety of forecast horizons, estimation window schemes and sample periods. For the majority of the target variables that we forecast, it is found that various of these shrinkage methods, when combined with simple factors formed using principal component analysis (e.g. component-wise boosting), perform better than all other models. It is also found that model averaging methods perform surprisingly poorly, given our prior that they would "win" in...
We conduct a detailed simulation study of the forecasting performance of diffusion index-based metho...
Abstract. Diffusion index models have received considerable attention from both theoreticians and em...
This dissertation consists of three independent chapters on econometric methods for macroeconomic an...
This article studies forecasting a macroeconomic time series variable using a large number of predic...
We address the problem of selecting the common factors that are relevant for forecasting macroeconom...
This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses mod...
This paper provides a simple shrinkage representation that describes the operational characteristics...
In this paper, we empirically assess the predictive accuracy of a large group of models that are spe...
My dissertation consists of three chapters that focus on the development of new tools for use with b...
A number of recent studies have focused on the usefulness of factor models in the context of predict...
We conduct a detailed simulation study of the forecasting performance of diffusion index-based meth...
We address the problem of selecting the common factors that are relevant for forecasting macroeconom...
This paper studies two refinements to the method of factor forecasting. First, we consider the metho...
Stock and Watson (1998 and 1999) developed a factor-model approach which allows for big data sets to...
In this paper we analyze the structure and the forecasting performance of the dynamic factor model. ...
We conduct a detailed simulation study of the forecasting performance of diffusion index-based metho...
Abstract. Diffusion index models have received considerable attention from both theoreticians and em...
This dissertation consists of three independent chapters on econometric methods for macroeconomic an...
This article studies forecasting a macroeconomic time series variable using a large number of predic...
We address the problem of selecting the common factors that are relevant for forecasting macroeconom...
This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses mod...
This paper provides a simple shrinkage representation that describes the operational characteristics...
In this paper, we empirically assess the predictive accuracy of a large group of models that are spe...
My dissertation consists of three chapters that focus on the development of new tools for use with b...
A number of recent studies have focused on the usefulness of factor models in the context of predict...
We conduct a detailed simulation study of the forecasting performance of diffusion index-based meth...
We address the problem of selecting the common factors that are relevant for forecasting macroeconom...
This paper studies two refinements to the method of factor forecasting. First, we consider the metho...
Stock and Watson (1998 and 1999) developed a factor-model approach which allows for big data sets to...
In this paper we analyze the structure and the forecasting performance of the dynamic factor model. ...
We conduct a detailed simulation study of the forecasting performance of diffusion index-based metho...
Abstract. Diffusion index models have received considerable attention from both theoreticians and em...
This dissertation consists of three independent chapters on econometric methods for macroeconomic an...