Bai, Jushan; Ng, Serena - In: Journal of Applied Econometrics 24 (2009) 4, pp. 607-629
In forecasting and regression analysis, it is often necessary to select predictors from a large feasible set. When the predictors have no natural ordering, an exhaustive evaluation of all possible combinations of the predictors can be computationally costly. This paper considers 'boosting' as a...