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 …

We administer a newly-designed survey to a large panel of retail investors who have substantial wealth invested in … financial markets. The survey elicits beliefs that are crucial for macroeconomics and finance, and matches respondents with …

" survey data. The latter one covers information from regular - at least yearly - surveys treating topics like investment …

In the monthly ifo Business Survey around 9,000 German companies answer questions about their current business … survey questions at the LMU-ifo Economics & Business Data Center (EBDC). On the other side, data sets of aggregated time …-series for all regularly surveyed variables can be obtained from the ifo Center for Macroeconomics and Surveys. …

We study response behavior in surveys and show how the explanatory power of self-reports can be improved. First, we … develop a choice model of survey response behavior under the assumption that the respondent has imperfect self-knowledge about … high self-knowledge. These examples illustrate how using the estimator may improve inference from survey data. …

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

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …