High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Year of publication: |
2019
|
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Authors: | Uematsu, Yoshimasa ; Tanaka, Shinya |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 22.2019, 1, p. 34-56
|
Subject: | Macroeconomic forecasting | Mixed data sampling (MIDAS) | Oracle inequality | Penalized regression | Portfolio selection | Ultra-high-dimensional time series | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Wirtschaftsprognose | Economic forecast | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling |
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