Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
This paper discusses pooling versus model selection for now- and forecasting in the pres-ence of model uncertainty with large, unbalanced datasets. Empirically, unbalanceddata is pervasive in economics and typically due to di¤erent sampling frequencies andpublication delays. Two model classes...