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Nowcasting monthly GDP with big data : a model averaging approach
Proietti, Tommaso; Giovannelli, Alessandro - 2020
Persistent link: https://www.econbiz.de/10012224870
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Forecasting VARs, model selection, and shrinkage
Kascha, Christian; Trenkler, Carsten - 2015
- depending on the employed shrinkage method. …
Persistent link: https://www.econbiz.de/10011491851
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Beating the simple average : egalitarian LASSO for combining economic forecasts
Diebold, Francis X.; Shin, Minchul - 2017
Persistent link: https://www.econbiz.de/10011770567
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Economic predictions with big data : the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018
deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …
Persistent link: https://www.econbiz.de/10011824834
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Forecasting macroeconomic variables in data-rich environments
Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52
Persistent link: https://www.econbiz.de/10011615474
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Forecasting the returns of cryptocurrency : a model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15
estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012388749
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Machine learning for regularized survey forecast combination : partially-egalitarian LASSO and its derivatives
Diebold, Francis X.; Shin, Minchul - In: International journal of forecasting 35 (2019) 4, pp. 1679-1691
Persistent link: https://www.econbiz.de/10012305515
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Optimal and robust combination of forecasts via constrained optimization and shrinkage
Roccazzella, Francesco; Gambetti, Paolo; Vrins, Frédéric - In: International journal of forecasting 38 (2022) 1, pp. 97-116
Persistent link: https://www.econbiz.de/10013347741
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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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Nowcasting Japanese GDP using targeted predictors
Kajita, Yuto; Chung, Wookyung - 2021
Persistent link: https://www.econbiz.de/10013368797