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A Review of Forecasting Techniques for Large Data Sets

Bank of England, e-mail: jana.eklund{at}bankofengland.co.uk

George Kapetanios

Queen Mary, University of London, e-mail: g.kapetanios{at}qmul.ac.uk

This paper aims to provide a brief and relatively non-technical overview of state-of-the-art forecasting with large data sets. We classify existing methods into four groups depending on whether data sets are used wholly or partly, whether a single model or multiple models are used and whether a small subset or the whole data set is being forecast. In particular, we provide brief descriptions of the methods and short recommendations where appropriate, without going into detailed discussions of their merits or demerits.

Key Words: Large datasets • factors • forecast combinations. JEL Classifications: C01 • C53

National Institute Economic Review, Vol. 203, No. 1, 109-115 (2008)
DOI: 10.1177/00279501082030011201


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