produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

between the proposed model and an ARIMA model. In empirical application, we apply this model to U.S.\ quarterly real GDP and …