This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran et al. (Journal of Business and Economic Statistics, Vol. 22 (2004), pp. 129-162), where country-specific models in the form of VARX* structures are estimated relating a vector of...

Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...