While there is an extensive literature concerning forecasting with many predictors, there are but few attempts to allow for non-linearity in such a "data-rich environment". Using macroeconomic data, we show that substantial gains in forecast accuracy can be achieved by including both squares and...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...