This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not su¢ciently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

This paper is concerned with the estimation and inference of nonparametric and semiparametric additive models in the presence of discrete variables and dependent observations. Among the different estimation procedures, the method introduced by Linton and Nielsen, based in marginal integration,...

This paper is concerned with the estimation and inference of nonparametric and semiparametric additive models in the presence of discrete variables and dependent observations. Among the different estimation procedures, the method introduced by Linton and Nielsen, based in marginal integration,...