This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …

paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set …-dimensional setting with an application to forecasting UK inflation at different horizons over the period 2020q1-2023q1. This application …