We consider the problem of optimally combining individual forecasts of gross domestic product (GDP) and inflation from the Survey of Professional Forecasters (SPF) dataset for the Euro Area. Contrary to the common practice of using equal combination weights, we compute optimal weights which...

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...

This paper warns the risks of uncritically adopting the mind set of statisticians in empirical analysis. The examples of vector autoregressions, forecast combinations and measurement of treatment effects are used to illustrate the fragility of statistical inference when sample observations are...

Motivated by analysis of gene expression data measured over different tissues or over time, we consider matrix-valued random variable and matrix-normal distribution, where the precision matrices have a graphical interpretation for genes and tissues, respectively. We present a l1 penalized...

We focus on the high dimensional linear regression Y∼N(Xβ∗,σ2In), where β∗∈Rp is the parameter of interest. In this setting, several estimators such as the LASSO (Tibshirani, 1996) and the Dantzig Selector (Candes and Tao, 2007) are known to satisfy interesting properties whenever the...