This paper proposes a test for detecting out-of-sample structural change in factor-augmented regression (FAR) models, as a complement to the in-sample structural stability tests developed in recent literature. In a set-up with a large number, N, of time series whereby each has some predictive...

This research suggests an easy-to-implement forecast combination procedure to deal with the model uncertainty issues when evaluating the cartel damages. We combine the Mallows model averaging (MMA) method with both the dummy variable (DV) and forecasting approaches to investigate the famous...