This paper uses the adaptive LASSO estimator to determine the variables important for economic growth. The adaptive LASSO estimator is a computationally very simple procedure that performs at the same time both consistent parameter estimation and model selection. The methodology is applied to...

The selection problem among models for the seasonal behavior in time series is considered. The central decision of interest is between models with seasonal unit roots and with deterministic cycles. In multivariate models, also the number of stochastic seasonal factors is a discrete parameter of...

We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...

We study the benefits of forecast combinations based on forecast-encompassing tests relative to uniformly weighted forecast averages across rival models. For a realistic simulation design, we generate multivariate time-series samples of size 40 to 200 from a macroeconomic DSGE-VAR model....