This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

We consider the issue of Block Bootstrap methods in processes that exhibit strong dependence. The main difficulty is to transform the series in such way that implementation of these techniques can provide an accurate approximation to the true distribution of the test statistic under...

This paper analyses the forecasting ability of economic summary indicators in EU economies. We employ the use of Partial Least Squares and Bayesian Shrinkage Regression methods and we predict the growth rates of quarterly GDP and Consumption and monthly Industrial Production. We find evidence...

This paper is concerned with the forecasting performance of variable reduction and variable selection methods using medium and large datasets. The variable reduction methods include Principal Components, Partial Least Squares and Bayesian Shrinkage Regression. The variable selection methods...