We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both … ROC and inverted precision in PRC are analogous concepts, and their difference is determined by the interaction of sample … quantify the extent to which ROC could be exaggerating the true predictive value of the yield curve in predicting recessions. …

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 … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

forecasting accuracy. Among the 10% best performing models for the short forecasting horizon, one fourth contain regional …

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one … forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the … commonly used information criteria. -- macroeconomic forecasting ; component-wise boosting ; large datasets ; variable …