-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a … - depending on the employed shrinkage method. …

with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The …

, estimated shrinkage, and no nonlinearity. Then I entertain alternative specifications of the zero lower bound: replace the …