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Forecasting VARs, model selection, and shrinkage

Kascha, Christian; Trenkler, Carsten - 2015

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and...

Persistent link: https://www.econbiz.de/10011441872

Comparing predictive accuracy, twenty years later : a personal perspective on the use and abuse of Diebold-Mariano tests

Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011389651

Forecasting by factors, by variables, by both or neither?

Castle, Jennifer; Clements, Michael P.; Hendry, David F. - In: Journal of econometrics 177 (2013) 2, pp. 305-319

Persistent link: https://www.econbiz.de/10010255142

Forecasting inflation and output in Bangladesh : evidence from a VAR model

Younus, Sayera; Roy, Alok - 2016

Persistent link: https://www.econbiz.de/10011535479

Forecasting VARs, model selection, and shrinkage

Kascha, Christian; Trenkler, Carsten - 2015

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and...

Persistent link: https://www.econbiz.de/10011491851

Forecasting the real prices of crude oil under economic and statistical constraints

Wang, Yudong; Liu, Li; Diao, Xundi; Wu, Chongfeng - In: Energy economics 51 (2015), pp. 599-608

Persistent link: https://www.econbiz.de/10011565055

On intermittent demand model optimisation and selection

Kourentzes, Nikolaos - In: International journal of production economics 156 (2014), pp. 180-190

Persistent link: https://www.econbiz.de/10010410281

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

Forecasting macroeconomic variables in data-rich environments

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52

Persistent link: https://www.econbiz.de/10011615474

Comparing predictive accuracy in the presence of a loss function shape parameter

Barendse, Sander; Patton, Andrew J. - 2019

Persistent link: https://www.econbiz.de/10012222224

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