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Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

extensive simulation study and out-of-sample prediction exercise and find large improvements both in model selection and … prediction compared to alternative selection methods. Our proposed method has higher out-of-sample Sharpe ratios and explanatory …

Persistent link: https://www.econbiz.de/10011888693

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011619632

The role of oil price shocks in causing U.S. recessions

Kilian, Lutz; Vigfusson, Robert J. - 2016

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...

Persistent link: https://www.econbiz.de/10011421672

Uncertainty in global sourcing : learning, sequential offshoring, and selection patterns

Larch, Mario; Navarro, Leandro - 2022

We analyse firms' sourcing decisions under institutional uncertainty in foreign countries. Firms can reduce their uncertainty by observing offshoring firms' behaviour. The model characterises a sequential offshoring equilibrium path, led by the most productive firms in the market. With multiple...

Persistent link: https://www.econbiz.de/10013419347

Are the Spanish long-term unemployed unemployable?

Bentolila, Samuel; García Peréz, José Ignacio; … - 2017

factors also contribute to a higher risk of long-term unemployment. Surprisingly, workers from the construction sector do not …

Persistent link: https://www.econbiz.de/10011602757

An empirically-based taxonomy of Dutch manufacturing : innovation policy implications

Raymond, Wladimir; Mohnen, Pierre A.; Palm, Franz C.; … - 2004

classification of Dutch manufacturing that can be used for policy purposes. We use a twolimit tobit model with sample selection … innovative sales. The model is estimated for eleven industries based on the Dutch Standard Industrial Classification (SBI 1993 …

Persistent link: https://www.econbiz.de/10011449855

The usual suspects : does risk tolerance, altruism, and health predict the response to COVID-19?

Sheth, Ketki; Wright, Greg C. - 2020

find a quarter of students violated the order. Yet, neither risk preference, altruism, nor preexisting health conditions …

Persistent link: https://www.econbiz.de/10012213128

Effects of macro uncertainty on mean expectations and subjective uncertainty : evidence from households and professional forecasters

Piccillo, Giulia; Poonpakdee, Poramapa - 2021

Macroeconomic uncertainty affects the subjective distribution of individual expectations. Using four panel datasets, we document the effects of macro uncertainty on the mean expectation (first moment) and subjective uncertainty (second moment) of income forecasts. We find that macro uncertainty...

Persistent link: https://www.econbiz.de/10012745240

Measuring market expectations

Baumeister, Christiane - 2021

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

Persistent link: https://www.econbiz.de/10012622575