This paper analyzes the forecasting benefits of dimension reducing of predictors prior to estimating random forest (RF) model for macroeconomic time series in high-dimensional data. For that, we propose sparse RF (sRF) models based on a two-step procedure where we consider three classes of...

In this paper we re-examine the purchasing power parity (PPP) in Australia for the period February 1970 to April 2005 using an alternative method relative to the previous studies. We underlined large shocks due to depreciations that affected the Australian exchange rate, using outlier...

In this paper, we propose a new coincident monthly indicator to detect in real-time the start and the end of an economic recession phase for the Euro area. In this respect, we use the methodology proposed in Anas and Ferrara (2002, 2004) as regards the recession indicator for the US, based on...