Foo, Benedict; Koh, Deng Yao; Tan, Juan Pang; Wang, Wenjie - In: The Singapore economic review 68 (2023) 2, pp. 319-353
We evaluate the performance of the penalized vector autoregression (VAR), diffusion index (DI), and regression tree-based ensemble learning models to forecast Singapore's macroeconomy using high-dimensional data. Our dataset consists of 220 monthly time series that capture the economy of...