Out-of-sample predictability in predictive regressions with many predictor candidates
Year of publication: |
2024
|
---|---|
Authors: | Gonzalo, Jesús ; Pitarakis, Jean-Yves |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 3, p. 1166-1178
|
Subject: | Forecasting | High dimensional predictability | Nested models | Out-of-sample | Predictive regression | Theorie | Theory | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis |
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