This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

This paper investigates the impact of news media information on improving short-term GDP growth forecasts by analyzing a large and unique corpus of 12.4 million news articles spanning from 1991 to 2018. We extract business cycle-related sentiment from each article using an annotated dataset from...

We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...

The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes from the texts of the most read economic...

Iron Curtain and Big Data are two words usually used to denote completely two different eras. Yet, the context the former offers and the rich data source the latter provides, enable the causal identification of the effect of networks on migration. Academics in countries behind the Iron Curtain...