Forecasting with dynamics 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
Authors:	Carriero, Andrea ; Kapetanios, George ; Marcellino, Massimiliano
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Wirtschaftsprognose \| Inflationsrate \| Volkseinkommen \| Statistische Methode \| shrinkage \| forecasting

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Series:	Working Paper ; 635
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	588116718 [GVK] hdl:10419/55182 [Handle]
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	EconStor

Persistent link: https://www.econbiz.de/10010280764