The Econometric SocietySupplement 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
