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Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

Chudik, Alexander - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012825993

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF-TVP-SV-VAR … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …

Persistent link: https://www.econbiz.de/10012842676

Variable Selection in High Dimensional Linear Regressions with Parameter Instability

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023

forecasting stage. The benefits of the proposed method as compared to Lasso, Adaptive Lasso and Boosting are illustrated by Monte …

Persistent link: https://www.econbiz.de/10014262743

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012908680

Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression

Polito, Vito; Zhang, Yunyi - 2021

We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure...

Persistent link: https://www.econbiz.de/10013314694

Tracking Weekly State-Level Economic Conditions

Baumeister, Christiane; Leiva-León, Danilo; Sims, Eric R. - 2021

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

Persistent link: https://www.econbiz.de/10012599252

Tracking Weekly State-Level Economic Conditions

Baumeister, Christiane; Leiva-Leon, Danilo; Sims, Eric R. - 2021

Persistent link: https://www.econbiz.de/10013220135

Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis

Greenwood-Nimmo, Matthew; Kocenda, Evžen; Nguyen, Viet … - 2023

The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158–171) is widely used to measure connectedness in economics and ﬁnance. Abrupt increases in the spillover index are thought to result from major economic and ﬁnancial events, but formal evidence of...

Persistent link: https://www.econbiz.de/10014469539

Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities

Kočenda, Evžen; Bartušek, Daniel - 2024

Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyze almost 900 oil-related events from 1987 to 2022, categorizing them based on recurring characteristics. We quantify dynamic connectedness among energy commodities and apply a novel...

Persistent link: https://www.econbiz.de/10015175219

High-Dimensional Forecasting with Known Knowns and Known Unknowns

Pesaran, M. Hashem; Smith, Ron P. - 2024

, known knowns, using Lasso and OCMT, and approximating unobserved latent factors, known unknowns, by various means. This …

Persistent link: https://www.econbiz.de/10014534378