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Macroeconomic Forecasting in the Era of Big Data

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Cover of 'Macroeconomic Forecasting in the Era of Big Data'

Table of Contents

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    Book Overview
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    Chapter 1 Sources and Types of Big Data for Macroeconomic Forecasting
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    Chapter 2 Dynamic Factor Models
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    Chapter 3 Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs
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    Chapter 4 Large Bayesian Vector Autoregressions
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    Chapter 5 Volatility Forecasting in a Data Rich Environment
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    Chapter 7 Penalized Time Series Regression
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    Chapter 8 Principal Component and Static Factor Analysis
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    Chapter 9 Subspace Methods
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    Chapter 10 Variable Selection and Feature Screening
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    Chapter 11 Frequentist Averaging
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    Chapter 12 Bayesian Model Averaging
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    Chapter 13 Bootstrap Aggregating and Random Forest
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    Chapter 14 Boosting
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    Chapter 15 Density Forecasting
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    Chapter 16 Forecast Evaluation
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    Chapter 17 Unit Roots and Cointegration
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    Chapter 18 Turning Points and Classification
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    Chapter 19 Robust Methods for High-Dimensional Regression and Covariance Matrix Estimation
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    Chapter 20 Frequency Domain
Attention for Chapter 19: Robust Methods for High-Dimensional Regression and Covariance Matrix Estimation
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