explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …

shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …

stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …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 …

with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The …

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a … - depending on the employed shrinkage method. …