The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial...

The objective of the paper is to assess and compare the resilience of the post-Covid US and Eurozone economies. Quarterly growth rates (annualized) of the Real GDP of US and the Eurozone are forecasted between Q4 2023 and Q4 2050. Two sets of forecasts are generated: forecasts using historical...

The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the...