Combining multiple forecasts provides gains in prediction accuracy. Therefore, with the aim of finding an optimal weighting scheme, several combination techniques have been proposed in the forecasting literature. In this paper we propose the use of sparse partial least squares (SPLS) as a method...

In the context of Dynamic Factor Models (DFM), we compare point and interval estimates of the underlying unobserved factors extracted using small and big-data procedures. Our paper differs from previous works in the related literature in several ways. First, we focus on factor extraction rather...

In the context of dynamic factor models (DFM), it is known that, if the cross-sectional and time dimensions tend to infinity, the Kalman filter yields consistent smoothed estimates of the underlying factors. When looking at asymptotic properties, the cross- sectional dimension needs to increase...

This paper considers several methods of producing a single forecast from several individual ones. We compare “standard” but hard to beat combination schemes (such as the average of forecasts at each period, or consensus forecast and OLS-based combination schemes) with more sophisticated...

This paper considers several methods of producing a single forecast from several individual ones. We compare "standard" but hard to beat combination schemes (such as the average of forecasts at each period, or consensus forecast and OLS-based combination schemes) with more sophisticated...

Poverty maps are an important source of information on the regional distribution of poverty and are currently used to support regional policy making and to allocate funds to local jurisdictions. But obtaining accurate poverty maps at low levels of disaggregation is not straightforward because of...

This paper estimates the causal impact of investment in information andcommunication technologies (ICT) on student performances in mathematics asmeasured in the Program for International Student Assessment (PISA) 2012 for Spain.To do this we apply a new methodology in this context known as...