[Forum SIS] errata corrige Seminario 26 febbraio 10 Dip. Scienze Statistiche Bologna, Gianluca Cubadda Medium-N Approach to Macroeconomic Forecasting

[Luciana Sacchetti]

University of Bologna
Department of Statistics
Via Belle Arti 41, Bologna

Friday , February 26th, 2.30 pm  Room 2
Gianluca Cubadda  Università di Roma "Tor Vergata", Rome.

A Medium-N Approach to Macroeconomic Forecasting
This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotic. This is achieved by examining the conditions under which partial least squares and principal component regression provide consistent estimates of a stable autoregressive distributed lag model as only the number of observations, T, diverges. We show both by simulations and empirical applications that the proposed methods compare well to models that are widely used in macroeconomic forecasting.

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