Before revision:  The high-dimensionality problem of the monthly dataset used is solved by assuming sparse structures for the choice of leading indicators, capable of adequately explaining the dynamics of the GDP components. Variable selection and the estimation of the forecasts is performed by using the LASSO method, together with some of its popular modifications.
After revision:  The high-dimensionality problem of the monthly dataset used is solved by assuming sparse structures for the choice of leading indicators, capable of adequately explaining the dynamics of analyzed data. For variable selection and estimation of the forecasts is performed by using the LASSO method, together with some of its popular modifications.