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Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting model for an economic aggregate may improve forecasting accuracy. In this paper we suggest using the boosting method to select the disaggregate variables, which are most helpful in predicting an aggregate of interest. We conduct a simulation study to investigate the variable selection...
European Monetary Union member countries’ forecasts are often combined to obtain the forecasts of the Euro area macroeconomic aggregate variables. The aggregation weights which are used to produce the aggregates are often considered as combination weights. This paper investigates whether using different combination weights instead of the usual aggregation weights can help to provide more accurate...
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