This thesis is made of four articles and an R package. The articles are all focused on forecasting economic variables on high-dimension. The first article shows that LASSO models are very accurate to forecast the Brazilian inflation in small horizons. The second article uses several Machine Learning models to forecast a set o US macroeconomic variables. The results show that a small adaptation in the LASSO improves the forecasts but with high computational costs. The third article is also on forecasting the Brazilian inflation, but in real-time. The main results show that a combination of Machine Learning models is more accurate than the FOCUS specialist forecasts. Finally, the last article is about forecasting the US inflation using a very large set of models. The winning model is the Random Forest, which opens the discussion of nonlinearity in the US inflation. The results show that both nonlinearity and variable selection are important features for the Random Forest performance.