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Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the Euro Area, and Germany ; conference paper

Buchen, Teresa; Wohlrabe, Klaus - 2014

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...

Persistent link: https://www.econbiz.de/10010491104

Variable selection in predictive MIDAS models

Marsilli, Clément - 2014

Persistent link: https://www.econbiz.de/10010439782

Bayesian variable selection in spatial autoregressive models

Piribauer, Philipp (contributor); … - 2015

Persistent link: https://www.econbiz.de/10011346556

Day-ahead electricity price forecasting with high-dimensional structures : univariate vs. multivariate modeling frameworks

Ziel, Florian; Weron, Rafał - In: Energy economics 70 (2018), pp. 396-420

Persistent link: https://www.econbiz.de/10011942844

Oracle inequalities for convex loss functions with nonlinear targets

Caner, Mehmet; Kock, Anders Bredahl - In: Econometric reviews 35 (2016) 8/10, pp. 1377-1411

Persistent link: https://www.econbiz.de/10011592343

Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models

Schneider, Ulrike - In: Econometric reviews 35 (2016) 8/10, pp. 1412-1455

Persistent link: https://www.econbiz.de/10011592348

Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the euro area and Germany

Wohlrabe, Klaus; Buchen, Teresa - In: Journal of forecasting 33 (2014) 4, pp. 231-242

Persistent link: https://www.econbiz.de/10010424821

Forecasting crude oil prices with a large set of predictors : Can LASSO select powerful predictors?

Zhang, Yaojie; Ma, Feng; Wang, Yudong - In: Journal of empirical finance 54 (2019), pp. 97-117

Persistent link: https://www.econbiz.de/10012174816

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

Persistent link: https://www.econbiz.de/10011691438

Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models

Kock, Anders Bredahl - In: Journal of econometrics 195 (2016) 1, pp. 71-85

Persistent link: https://www.econbiz.de/10011705233

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