Search Results - subject:"variable selection"

Panel data evidence on the role of institutions and shocks for unemployment dynamics and equilibrium

Nymoen, Ragnar; Sparrman, Victoria - 2012

We estimate the quantitative importance of labour market institutions for equilibrium unemployment in OECD. The empirical equation for unemployment is based on the solution of a dynamic macroeconomic model where wages and prices are jointly determined with unemployment. Compared to existing...

Persistent link: https://www.econbiz.de/10010330226

Penalized estimation of high-dimensional models under a generalized sparsity condition

Horowitz, Joel; Huang, Jian - 2012

We consider estimation of a linear or nonparametric additive model in which a few coefficients or additive components are large and may be objects of substantive interest, whereas others are small but not necessarily zero. The number of small coefficients or additive components may exceed the...

Persistent link: https://www.econbiz.de/10010288295

The influence of variable selection methods on the accuracy of bankruptcy prediction models

du Jardin, Philippe - Volkswirtschaftliche Fakultät, … - 2012

model accuracy, one has rarely been discussed: the influence of the variable selection method. The aim of our research is to … modeling technique and that the fit between the variable selection method and the technique used to design models is a key …

Persistent link: https://www.econbiz.de/10011107955

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?

Lanne, Markku; Luoto, Jani - Volkswirtschaftliche Fakultät, … - 2012

We propose a new methodology for ranking in probability the commonly proposed drivers of inflation in the New Keynesian model. The approach is based on Bayesian model selection among restricted VAR models, each of which embodies only one or none of the candidate variables as the driver....

Persistent link: https://www.econbiz.de/10011108571

Panel Data Evidence on the Role of Institutions and Shocks for Unemployment Dynamics and Equilibrium

Nymoen, Ragnar; Sparrman, Victoria - Økonomisk institutt, Universitetet i Oslo - 2012

Persistent link: https://www.econbiz.de/10010785524

Oracle Inequalities for High Dimensional Vector Autoregressions

Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012

This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order of...

Persistent link: https://www.econbiz.de/10010851258

Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - Deutsche Bundesbank - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10010957109

Stable variable selection for right censored data: comparison of methods

Besse, Philippe; Leconte, Eve; Walschaerts, Marie - Toulouse School of Economics (TSE) - 2012

. This paper deals with variable selection methodology in the case of high-dimensional problems where the response variable … can be right censored. We focuse on new stable variable selection methods based on bootstrap for two different … concerned, we investigate the bootstrapping applied to two variable selection techniques: the stepwise algorithm based on the …

Persistent link: https://www.econbiz.de/10010934793

Short-term forecasts of French GDP: a dynamic factor model with targeted predictors.

Bessec, M. - Banque de France - 2012

In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

Persistent link: https://www.econbiz.de/10010593235

Variable Selection Using Principal Component and Procrustes Analyses and its Application in Educational Data

Siswadi; Muslim, Achmad; Bakhtiar, Toni - In: Journal of Asian Scientific Research 2 (2012) 12, pp. 856-865

efficiency of the variable selection methods in extracting representative variables. In this paper we evaluate the efficiency of …

Persistent link: https://www.econbiz.de/10010598543