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Forecasting with Dynamic Models using Shrinkage-based Estimation
Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008
to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage …
Persistent link: https://www.econbiz.de/10005106394
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A Shrinkage Instrumental Variable Estimator for Large Datasets
Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008
construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …
Persistent link: https://www.econbiz.de/10005106429
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Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)
Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; … - School of Economics and Finance, Queen Mary - 2006
This paper compares forecast performance of the ALI method and the MESMs and seeks ways of improving the ALI method. Inflation and GDP growth form the forecast objects for comparison, using data from China, Indonesia and the Philippines. The ALI method is found to produce better forecasts than...
Persistent link: https://www.econbiz.de/10005106401
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Variable Selection using Non-Standard Optimisation of Information Criteria
Kapetanios, George - School of Economics and Finance, Queen Mary - 2005
The question of variable selection in a regression model is a major open research topic in econometrics. Traditionally two broad classes of methods have been used. One is sequential testing and the other is information criteria. The advent of large datasets used by institutions such as central...
Persistent link: https://www.econbiz.de/10005106416