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A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...
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context of linear regression models, penalised regression has become the de facto benchmark technique used to trade off … number of advantages over the penalised regression methods: It is based on statistical inference and is therefore easier to …
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parameter in a penalized regression. We study trading-strategy performance to verify our estimation results. If you trade on two …
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