Supplement to "Economic Predictions with Big Data: The Illusion of Sparsity"

This document contains some additional results and technical details not included in the main body of the paper. In particular, we present: i) more Monte Carlo simulation evidence; ii) the details of our out-of-sample forecasting exercise. This supplement is not self-contained, so readers are advised to read the main paper first.

Supplemental Authors: 
Giannone, Domenico - Amazon
Lenza, Michele - European Central Bank
Primiceri, Giorgio E - Northwestern University
Online Appendix