• 1 Introduction
  • 2 Model
  • 3 Estimation and asymptotic theory
  • 3.1 Asymptotic theory
  • 3.2 Modeling Cycle
  • 4 Forecasting: The role of bagging
  • 5 Real Data Investigation
  • 5.1 Data
  • 5.2 Estimation results
  • 5.3 Forecasting results
  • 6 Conclusions
  • A Proofs
  • B Lemmas
  • References