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Macroeconomic forecasting with factor-augmented adjusted band regression

Chudý, Marek; Reschenhofer, Erhard - In: Econometrics : open access journal 7 (2019) 4/46, pp. 1-14

Previous findings indicate that the inclusion of dynamic factors obtained from a large set of predictors can improve macroeconomic forecasts. In this paper, we explore three possible further developments: (i) using automatic criteria for choosing those factors which have the greatest predictive...

Persistent link: https://www.econbiz.de/10012160746

Dynamic factor models

Doz, Catherine; Fuleky, Peter - 2019

Persistent link: https://www.econbiz.de/10012234624

Automated Bayesian variable selection methods for binary regression models with missing covariate data

Bergrab, Michael; Aßmann, Christian - In: Wirtschafts- und sozialstatistisches Archiv : eine … 18 (2024) 2, pp. 203-244

Persistent link: https://www.econbiz.de/10015189850

Model selection and shrinkage : an overview

Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346

Persistent link: https://www.econbiz.de/10011592330

Instrument selection for estimation of a forward-looking Phillips Curve

Berriel, Tiago; Medeiros, Marcelo C.; Sena, Marcelo J. - In: Economics letters 145 (2016), pp. 123-125

Persistent link: https://www.econbiz.de/10011618273

On tuning parameter selection in model selection and model averaging : a Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16

to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …

Persistent link: https://www.econbiz.de/10012025275