How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

DOI10.1198/016214507000000473zbMath1469.62403OpenAlexW2014115301MaRDI QIDQ3632659

Atsushi Inoue, Lutz Kilian

Publication date: 12 June 2009

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214507000000473

zbMATH Keywords

shrinkage estimationforecast combinationBayesian model averagingfactor modelbootstrap aggregationforecasting model selectionpre testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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