Showing 1 - 10 of 295
Persistent link: https://www.econbiz.de/10012795057
By employing large panels of survey data for the UK economy, we aim at reviewing linear approaches for regularisation and dimension reduction combined with techniques from the machine learning literature, like Random Forests, Support Vector Regressions and Neural Networks for forecasting GDP...
Persistent link: https://www.econbiz.de/10013226235
This paper analyses the forecasting ability of economic summary indicators in EU economies. We employ the use of Partial Least Squares and Bayesian Shrinkage Regression methods and we predict the growth rates of quarterly GDP and Consumption and monthly Industrial Production. We find evidence...
Persistent link: https://www.econbiz.de/10013053177
Persistent link: https://www.econbiz.de/10012305256
This paper investigates the performance of Financial Condition Indexes (FCIs) in forecasting four key macroeconomic variables of EU economies. A wide range of carefully selected financial indicators include Rates and Spreads, Stock Market Indicators and Macroeconomic Quantities. The results...
Persistent link: https://www.econbiz.de/10013053181
Persistent link: https://www.econbiz.de/10014443196
Persistent link: https://www.econbiz.de/10010490087
Persistent link: https://www.econbiz.de/10012305391
a set of Monte Carlo experiments, and a broad set of key US macro- economic indicators. The forecast evaluation …
Persistent link: https://www.econbiz.de/10012893405
forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …
Persistent link: https://www.econbiz.de/10012921528