Search Results - subject:"Subset regression"

Forecasting crude oil futures market returns : a principal component analysis combination approach

Zhang, Yaojie; Wang, Yudong - In: International journal of forecasting 39 (2023) 2, pp. 659-673

Persistent link: https://www.econbiz.de/10014465079

Complete subset averaging methods in corporate bond return prediction

Cheng, Tingting; Jiang, Shan; Zhao, Albert Bo; Jia, Zhimin - In: Finance research letters 54 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472688

Complete subset least squares support vector regression

Qiu, Yue - In: Economics letters 200 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012606827

Forecasting using Random Subspace Methods

Boot, Tom; Nibbering, Didier - 2016

macroeconomic variables. We focus on two approaches. The first is random subset regression, where random subsets of predictors are … set increases substantially when using the randomized methods, with random subset regression outperforming any one of the …

Persistent link: https://www.econbiz.de/10011586688

Forecasting using random subspace methods

Boot, Tom; Nibbering, Didier - 2016

Persistent link: https://www.econbiz.de/10011531132

Real-time inflation forecasting with high-dimensional models : the case of Brazil

Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: International journal of forecasting 33 (2017) 3, pp. 679-693

Persistent link: https://www.econbiz.de/10011746198

Complete subset regressions with large-dimensional sets of predictors

Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of economic dynamics & control 54 (2015), pp. 86-110

Persistent link: https://www.econbiz.de/10011587071

Complete subset regressions with large-dimensional sets of predictors

Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of Economic Dynamics and Control 54 (2015) C, pp. 86-110

We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible …

Persistent link: https://www.econbiz.de/10011264276

Complete subset regressions

Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of econometrics 177 (2013) 2, pp. 357-373

Persistent link: https://www.econbiz.de/10010255136

Complete subset regressions

Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of Econometrics 177 (2013) 2, pp. 357-373

This paper proposes a new method for combining forecasts based on complete subset regressions. For a given set of potential predictor variables we combine forecasts from all possible linear regression models that keep the number of predictors fixed. We explore how the choice of model complexity,...

Persistent link: https://www.econbiz.de/10010709435