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 …

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

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 …

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …