Boosting high dimensional predictive regressions with time varying parameters
Year of publication: |
2021
|
---|---|
Authors: | Yousuf, Kashif ; Ng, Serena |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 1, p. 60-87
|
Subject: | boosting | Forecasting | Locally stationary | Parameter instability | Sparsity | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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