Search Results - subject:"ModelSelection"

On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021

Persistent link: https://www.econbiz.de/10012431724

On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021

Persistent link: https://www.econbiz.de/10013206037

A machine learning dynamic switching approach to forecasting when there are structural breaks

Pinto, Jeronymo Marcondes; Castle, Jennifer - 2021

Persistent link: https://www.econbiz.de/10012697014

Model-selection tests for conditional moment restriction models

Hsu, Yu-Chin; Shi, Xiaoxia - In: The econometrics journal 20 (2017) 1, pp. 52-85

Persistent link: https://www.econbiz.de/10011719965

Out-Of-Sample Comparisons of Overfit Models

Calhoun, Gray - Department of Economics, Iowa State University - 2014

This paper uses dimension asymptotics to study why overfit linear regression models should be compared out-of-sample; we let the number of predictors used by the larger model increase with the number of observations so that their ratio remains uniformly positive. Our analysis gives a theoretical...

Persistent link: https://www.econbiz.de/10008831646

Stabilizing the lasso against cross-validation variability

Roberts, S.; Nowak, G. - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 198-211

model-selection instability of the lasso, a method called the percentile-lasso is introduced. The model selected by the … in both model-selection stability and model-selection error compared to the lasso. Importantly, when applied to real data …

Persistent link: https://www.econbiz.de/10011056566