Forecasting with many predictors : is boosting a viable alternative?

Teresa Buchen; Klaus Wohlrabe

This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). Using the same data set and comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the short run and that it performs best in the longer run.

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Year of publication:	2010
Authors:	Buchen, Teresa ; Wohlrabe, Klaus
Publisher:	München : Univ., Volkswirtschaftliche Fak.
Subject:	Forecasting \| Boosting \| Cross-validation \| Prognoseverfahren \| Forecasting model \| Faktorenanalyse \| Factor analysis \| Bayes-Statistik \| Bayesian inference \| Theorie \| Theory \| Industrieproduktion \| Industrial production \| Frühindikator \| Leading indicator \| USA \| United States

Extent:	Online-Ressource (8 S., 229Kb)
Series:	Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers. - München : Univ., ZDB-ID 2296321-2. - Vol. 2010-31
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/104321 [Handle]
Classification:	C53 - Forecasting and Other Model Applications ; E27 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008757436