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Model specification and selection are recurring themes in econometric analysis. Both topics become considerably more complicated in the case of large-dimensional data sets where the set of specification possibilities can become quite large. In the context of linear regression models, penalised...
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could benefit from the cross-fertilization spatial data mining techniques such as Classification and Regression Trees (CART …). We use the CART algorithm to fit empirical data and produce a tree with optimal tree size for different specifications of …-residuals obtained from the regression tree analysis and we compare the accuracy and performance of different versions of CART that take …
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conclude that the use of surveys positively contributes to boosting forecast accuracy of industrial production compared with …
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Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
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We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...
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