Boosting high dimensional predictive regressions with time varying parameters (Q2043255)

scientific article; zbMATH DE number 7376508

Language	Label	Description	Also known as
English	Boosting high dimensional predictive regressions with time varying parameters	scientific article; zbMATH DE number 7376508

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instance of

scholarly article

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title

Boosting high dimensional predictive regressions with time varying parameters (English)

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Journal of Econometrics

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publication date

30 July 2021

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full work available at URL

https://arxiv.org/abs/1910.03109

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zbMATH Keywords

\(L_2\) boosting

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forecasting

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locally stationary

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parameter instability

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sparsity

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describes a project that uses

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Determining the Number of Factors in Approximate Factor Models

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Regularized estimation in sparse high-dimensional time series models

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Consistent factor estimation in dynamic factor models with structural instability

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Testing for structural breaks in dynamic factor models

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Boosting for high-dimensional linear models

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Boosting algorithms: regularization, prediction and model fitting

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Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

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Modeling and testing smooth structural changes with endogenous regressors

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Testing for smooth structural changes in time series models via nonparametric regression

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Covariance and precision matrix estimation for high-dimensional time series

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Forecasting Economic Time Series

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On the Kullback-Leibler information divergence of locally stationary processes

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Towards a general theory for nonlinear locally stationary processes

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Fitting time series models to nonstationary processes

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Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models

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Mixing: Properties and examples

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Least angle regression. (With discussion)

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Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression

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A decision-theoretic generalization of on-line learning and an application to boosting

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Greedy function approximation: A gradient boosting machine.

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Discussion on boosting papers.

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The elements of statistical learning. Data mining, inference, and prediction

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Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)

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Mixing properties of ARCH and time-varying ARCH processes

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Adaptive forecasting in the presence of recent and ongoing structural change

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Predicting the Equity Premium with Dividend Ratios

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Forward stagewise regression and the monotone lasso

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Model-based boosting in R: a hands-on tutorial using the R package mboost

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Weakly dependent functional data

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Estimation and Identification of a Varying-Coefficient Additive Model for Locally Stationary Processes

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Rolling window selection for out-of-sample forecasting with time-varying parameters

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The three-pass regression filter: a new approach to forecasting using many predictors

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Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence

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Oracle inequalities for high dimensional vector autoregressions

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FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*

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Large time-varying parameter VARs

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Bayesian compressed vector autoregressions

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Local linear smoothing for sparse high dimensional varying coefficient models

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Q5488710

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Estimating beta-mixing coefficients via histograms

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\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

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LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION

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Nonparametric estimation of time varying parameters under shape restrictions

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Q3431920

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Selection of estimation window in the presence of breaks

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A quasi-Bayesian local likelihood approach to time varying parameter VAR models

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Estimating smooth structural change in cointegration models

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Time Varying Structural Vector Autoregressions and Monetary Policy

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Cross validation for locally stationary processes

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Q3093208

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Q4593683

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On time-varying factor models: estimation and testing

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Weak greedy algorithms

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Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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Nonparametric regression for locally stationary time series

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Nonlinear system theory: Another look at dependence

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Asymptotic theory for stationary processes

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Variable screening for high dimensional time series

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Gaussian approximation for high dimensional vector under physical dependence

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Time-varying nonlinear regression models: nonparametric estimation and model selection

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Nonparametric inference of quantile curves for nonstationary time series

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Local linear quantile estimation for nonstationary time series

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JECONOM.2020.08.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:2043255