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

This zip file contains only one file, i.e. the main estimation function (the top of the file contains a thorough description).

Supplemental Authors: 
Giannone, Domenico - Amazon
Lenza, Michele - European Central Bank
Primiceri, Giorgio E - Northwestern University
Data and Programs
Package icon 17842_Data_and_Programs-3.zip

Back