Forecast uncertainty based on model averaging

Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric and modern machine learning techniques.

This repository contains the R-Package for a novel time series forecasting method designed to handle very large sets of predictive signals, many of which may be irrelevant or have only short-lived predictive power.

This code mainly computes the forecast of headline inflation using different aproaches. Likewise presents the forecast evaluation for each model along different points in a span period.

Honours research project for Sapphire Li (2023)