series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based …

provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …