item series combined with a wide set of forecasting tools, including dimensionality reduction techniques, shrinkage methods … improvements in forecasting UK inflation against an autoregressive benchmark, above and beyond the gains from macroeconomic … a large and relevant information set combined with efficient penalisation is key for good forecasting performance for …

-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …

structural analysis, there is little evidence on their usefulness in forecasting UK output growth, inflation and the short … models in forecasting output growth, inflation and a short rate. We find that allowing for time-varying parameters can lead …