paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set …-dimensional setting with an application to forecasting UK inflation at different horizons over the period 2020q1-2023q1. This application …

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 … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

features of observed data and of forecasting oneperiod ahead output-gap and investment with a remarkable degree of accuracy. …

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …