in the international data. The largest forecasting accuracy gains from including international predictors are at longer … forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and …

(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …

(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …

We assess the marginal predictive content of a large international dataset for forecasting GDP in New Zealand, an … capturing a substantial proportion of the predictive information in the international data. The largest forecasting accuracy … gains from including international predictors are at longer forecast horizons. The forecasting performance achievable with …

Factor models have been applied extensively for forecasting when high dimensional datasets are available. In this case … estimated factors with lower uncertainty or better forecasting results. This paper investigates the usefulness of partial least …-known Stock and Watson database to check the forecasting performance of our approach. The proposed dynamic sparse models show a …