Model selection and estimation are important topics in econometric analysis which can become considerably complicated in high dimensional settings, where the set of possible regressors can become larger than the set of available observations. For large scale problems the penalized regression...

This paper suggests term spread regression based tests allowing for time-varying term premium effects, with the aim of explaining the empirical failures of the term spread to forecast future movements in interest rates. To capture the e¤ects of a time-varying term premium on the term spread,...