In modern data sets, the number of available variables can greatly exceed the number of observations. In this paper we show how valid confidence intervals can be constructed by approximating the inverse covariance matrix by a scaled Moore-Penrose pseudoinverse, and using the lasso to perform a...

We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...

Random subspace methods are a novel approach to obtain accurate forecasts in high-dimensional regression settings. We provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly macroeconomic variables. We focus on two approaches....

We derive optimal weights for Markov switching models by weighting observations such that forecasts are optimal in the MSFE sense. We provide analytic expressions of the weights conditional on the Markov states and conditional on state probabilities. This allows us to study the effect of...

Random subspace methods are a novel approach to obtain accurate forecasts in high-dimensional regression settings. Forecasts are constructed from random subsets of predictors or randomly weighted predictors. We provide a theoretical justification for these strategies by deriving bounds on their...

We derive optimal weights for Markov switching models by weighting observations such that forecasts are optimal in the MSFE sense. We provide analytic expressions of the weights conditional on the Markov states and conditional on state probabilities. This allows us to study the effect of...

In modern data sets, the number of available variables can greatly exceed the number of observations. In this paper we show how valid confidence intervals can be constructed by approximating the inverse covariance matrix by a scaled Moore-Penrose pseudoinverse, and using the lasso to perform a...

We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...