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Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
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selection of forecasting models to tackle their common data features yet distinct problems. …
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We investigate forecasting in models that condition on variables for which future values are unknown. We consider the … simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world …
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