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Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios
Babii, Andrii - 2020
This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting … series panel data structures and we find that it empirically outperforms the unstructured machine learning methods. We obtain … oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and …
Persistent link: https://www.econbiz.de/10012826088
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Mixed-frequency macro-finance factor models : theory and applications
Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - In: Journal of financial econometrics 18 (2020) 3, pp. 585-628
Persistent link: https://www.econbiz.de/10012316703
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Panel data nowcasting : the case of price-earnings ratios
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, … - In: Journal of applied econometrics 39 (2024) 2, pp. 292-307
Persistent link: https://www.econbiz.de/10014517329
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Real-time forecasting of the US federal government budget : a simple mixed frequency data regression approach
Ghysels, Eric; Ozkan, Nazire - In: International journal of forecasting 31 (2015) 4, pp. 1009-1020
Persistent link: https://www.econbiz.de/10011474768
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Should macroeconomic forecasters use daily financial data and how?
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 240-251
Persistent link: https://www.econbiz.de/10009753968
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Central bank macroeconomic forecasting during the global financial crisis : the European Central Bank and Federal Reserve Bank of New York experiences
Alessi, Lucia; Ghysels, Eric; Onorante, Luca; Peach, … - 2014
This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped...
Persistent link: https://www.econbiz.de/10010404063
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Central bank macroeconomic forecasting during the global financial crisis : the European Central Bank and Federal Reserve Bank of New York experiences
Alessi, Lucia; Ghysels, Eric; Onorante, Luca; Peach, … - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 483-515
Persistent link: https://www.econbiz.de/10010488446
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Forecasting with Mixed-Frequency Data
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: The Oxford handbook of economic forecasting. 2012
Persistent link: https://www.econbiz.de/10012882025
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Real-time forecasts of state and local government budgets with an application to the COVID-19 pandemic
Ghysels, Eric; Grigoris, Fotis; Özkan, Nazire - In: National tax journal 75 (2022) 4, pp. 731-763
Persistent link: https://www.econbiz.de/10013548748
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Should Macroeconomic Forecasters Use Daily Financial Data and How?
Andreou, Elena - 2012
We introduce easy to implement regression-based methods for predicting quarterly real economic activity that use daily financial data. Our analysis is designed to elucidate the value of daily information and provide real-time forecast updates of the current (nowcasting) and future quarters. Our...
Persistent link: https://www.econbiz.de/10013115491