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

DOI10.1016/j.jeconom.2013.08.033zbMath1293.91195OpenAlexW3124770001MaRDI QIDQ2511793

Hyun Hak Kim, Norman R. Swanson

Publication date: 6 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.033

zbMATH Keywords

predictionridge regressionforecastingBayesian model averagingbaggingboostingelastic netdiffusion indexleast angle regressionreality checknon-negative garotte

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Related Items (5)

Volatility forecasting of strategically linked commodity ETFs: gold-silver ⋮ Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ Boosting high dimensional predictive regressions with time varying parameters

Uses Software

• AdaBoost.MH
• AdaBoost.RT

Cites Work

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