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Chapter 14. Variable Selection in Predictive Regressions

Ng, Serena - 2013

This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when N is small relative to the sample size, T , are reviewed. Then...

Persistent link: https://www.econbiz.de/10014025234

Comparison of methods for constructing joint confidence bands for impulse response functions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - In: International journal of forecasting 31 (2015) 3, pp. 782-798

Persistent link: https://www.econbiz.de/10011474568

On the real effects of inflation in open economies: theory and empirics

Mallick, Sushanta; Mohsin, Mohammed - In: Empirical Economics 39 (2010) 3, pp. 643-673

Persistent link: https://www.econbiz.de/10008775751

Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand

Bloor, Chris; Matheson, Troy - In: Empirical Economics 39 (2010) 2, pp. 537-558

Persistent link: https://www.econbiz.de/10008674031

Forecasting with dimension switching VARs

Koop, Gary - In: International journal of forecasting 30 (2014) 2, pp. 280-290

Persistent link: https://www.econbiz.de/10010510910

Forecasting macroeconomic time series : LASSO-based approaches and their forecast combinations with dynamic factor models

Li, Jiahan; Chen, Weiye - In: International journal of forecasting 30 (2014) 4, pp. 996-1015

Persistent link: https://www.econbiz.de/10010517772

On using predictive-ability tests in the selection of time-series prediction models : a Monte Carlo evaluation

Costantini, Mauro; Kunst, Robert M. - In: International journal of forecasting 37 (2021) 2, pp. 445-460

Persistent link: https://www.econbiz.de/10012792843

Treating and pruning : new approaches to forecasting model selection and combination using prediction intervals

Meira, Erick; Oliveira, Fernando Luiz Cyrino; Jeon, Jooyoung - In: International journal of forecasting 37 (2021) 2, pp. 547-568

Persistent link: https://www.econbiz.de/10012792853

Forecast encompassing tests for the expected shortfall

Dimitriadis, Timo; Schnaitmann, Julie - In: International journal of forecasting 37 (2021) 2, pp. 604-621

Persistent link: https://www.econbiz.de/10012792857

Data visualization and forecast combination for probabilistic load forecasting in GEFCom2017 final match

Hoog, Julian de; Abdulla, Khalid - In: International journal of forecasting 35 (2019) 4, pp. 1451-1459

Persistent link: https://www.econbiz.de/10012305375