Forecasting with Dynamic Models using Shrinkage-based Estimation

The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial advantages compared to standard autoregressive models. An empirical application focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding.

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Year of publication:	2008-10
Authors:	Carriero, Andrea ; Kapetanios, George ; Marcellino, Massimiliano
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Shrinkage \| Forecasting

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 635
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106394