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regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10010498420
A forecasting exercise is presented to assess the predictive potential of a daily price index based on online prices …
Persistent link: https://www.econbiz.de/10011771633
We present a comprehensive disaggregate approach for short-term forecasting economic activity in Germany by explicitly …
Persistent link: https://www.econbiz.de/10011900715
In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN …
Persistent link: https://www.econbiz.de/10014496850
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10013120348
We address the problem of selecting the common factors that are relevant for forecasting macroeconomic variables. In … economic forecasting using diffusion indexes the factors are ordered, according to their importance, in terms of relative …-real time forecasting exercise, assessing the predictions of 8 macroeconomic variables using factors extracted from an U …
Persistent link: https://www.econbiz.de/10013026528
, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide …
Persistent link: https://www.econbiz.de/10009635895
focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. -- Shrinkage ; Forecasting …
Persistent link: https://www.econbiz.de/10003785003
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …. -- Macroeconomic forecasting ; factor models ; forecast combination ; principal components ; partial least squares ; Bayesian ridge …
Persistent link: https://www.econbiz.de/10003781548
as a pseudo real time forecasting exercise, i.e. due account is taken of the pattern of available monthly variables over …
Persistent link: https://www.econbiz.de/10003825975