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Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning

Kollmann, Robert - In: Computational Economics 45 (2015) 2, pp. 239-260

-space representation of the second-order solution based on the ‘pruning’ scheme of Kim et al. (J Econ Dyn Control 32 … competitive with the standard particle filter. Use of the pruning scheme distinguishes the filter here from the deterministic …

Persistent link: https://www.econbiz.de/10011155123

Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil

Schultz Lindenmeyer, Guilherme; da Silva Torrent, Hudson - In: Computational Economics 64 (2023) 1, pp. 377-409

This paper aims to elaborate a treated data set and apply the boosting methodology to monthly Brazilian macroeconomic … performance of boosting models using P-Splines as base-learner are the ones that have the best results, especially the methodology … with two components: two-stage boosting. In addition, we conducted an analysis on a subgroup of variables with data …

Persistent link: https://www.econbiz.de/10015165686

Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil

Schultz Lindenmeyer, Guilherme; da Silva Torrent, Hudson - In: Computational Economics 64 (2023) 1, pp. 377-409

Persistent link: https://www.econbiz.de/10015403571

Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm

Kaucic, Massimiliano - In: Computational Economics 34 (2009) 2, pp. 173-193

Persistent link: https://www.econbiz.de/10004976808

Structural Change and Long Memory in the Dynamic of U.S. Inflation Process

Belkhouja, Mustapha; Boutahar, Mohamed - In: Computational Economics 34 (2009) 2, pp. 195-216

Persistent link: https://www.econbiz.de/10004976810

Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance

Savin, Ivan; Winker, Peter - In: Computational Economics 39 (2012) 4, pp. 337-363

Persistent link: https://www.econbiz.de/10010866887

Optimized Multivariate Lag Structure Selection

Winker, Peter - In: Computational Economics 16 (2000) 1/2, pp. 87-103

Model selection – choosing the relevant variables and structures – is a central task in econometrics. Given a limited number of observations, estimation and inference depend on this choice. A frequently treated model-selection problem arises in multivariate autoregressive models, where the...

Persistent link: https://www.econbiz.de/10005808993

Model Selection Using Information Criteria and Genetic Algorithms

Balcombe, Kelvin - In: Computational Economics 25 (2005) 3, pp. 207-228

Automated model searches using information criteria are used for the estimation of linear single equation models. Genetic algorithms are described and used for this purpose. These algorithms are shown to be a practical method for model selection when the number of sub-models are very large....

Persistent link: https://www.econbiz.de/10005701767