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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.
Year of publication:
2008-10
Authors: Carriero, Andrea ; Kapetanios, George ; Marcellino, Massimiliano
Institutions: School of Economics and Finance, Queen Mary
Subject: Shrinkage | Forecasting
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 635
Classification: C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005106394
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