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Chudik, Alexander; Kapetanios, George; Pesaran, M. Hashem - 2016

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...

Persistent link: https://www.econbiz.de/10011444508

Big data analytics : a new perspective

Chudik, Akexander; Kapetanios, George; Pesaran, M. Hashem - 2016

Persistent link: https://www.econbiz.de/10011455779

Corporate default prediction model averaging : a normative linear pooling approach

Figini, Silvia; Savona, Roberto; Vezzoli, Marika - In: Intelligent systems in accounting finance and … 23 (2016) 1/2, pp. 6-20

Persistent link: https://www.econbiz.de/10011668111

Comparing possibly misspecified forecasts

Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809

Persistent link: https://www.econbiz.de/10012313371

Spatial econometric modelling of massive datasets : the contribution of data mining

Arbia, Giuseppe; Tabasso, M. - 2013

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 …

Persistent link: https://www.econbiz.de/10011532588

Forecasting disconnected exchange rates

Berge, Travis J. - In: Journal of applied econometrics 29 (2014) 5, pp. 713-735

Persistent link: https://www.econbiz.de/10010414857

Forecasting disconnected exchange rates

Berge, Travis J. - 2011

Persistent link: https://www.econbiz.de/10009412986

Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions

Eisele, Martin; Zhu, Junyi - 2013

In this paper, we present a case study of the imputation in a complex household survey - the first wave of the German Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical structure mainly because the probes of many wealth...

Persistent link: https://www.econbiz.de/10010378326

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

Chapter 9 Approximate Nonlinear Forecasting Methods

White, Halbert - 2006

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...

Persistent link: https://www.econbiz.de/10014023697