Introduction: Sources and Types of Big Data for Macroeconomic Forecasting.- Capturing Dynamic Relationships: Dynamic Factor Models.- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs.- Large Bayesian Vector Autoregressions.- Volatility Forecasting in a Data Rich Environment.- Neural Networks.- Seeking Parsimony: Penalized Time Series Regression.- Principal Component and Static Factor Analysis.- Subspace Methods.- Variable Selection and Feature Screening.- Dealing with Model Uncertainty: Frequentist Averaging.- Bayesian Model Averaging.- Bootstrap Aggregating and Random Forest.- Boosting.- Density Forecasting.- Forecast Evaluation.- Further Issues: Unit Roots and Cointegration.- Turning Points and Classification.- Robust Methods for High-dimensional Regression and Covariance Matrix Estimation.- Frequency Domain.- Hierarchical Forecasting.