A better approach to prediction
The Philadelphia Federal Reserve has developed what it believes to be a superior approach to forecasting a range of macroeconomic variables.
By using Monte Carlo and empirical analyses to construct new "smoothed" approaches to factor proxy selection, the Fed finds that it can offer predictions that are often superior not only to those found using a benchmark factor model, but also to simple linear time series models, usually difficult to beat in forecasting competitions.
The variables that the
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