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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

Forecasting Brazilian inflation with high dimensional models

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.; … - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 223-254

Persistent link: https://www.econbiz.de/10011644505

Lasso-type and Heuristic Strategies in Model Selection and Forecasting

Savin, Ivan; Winker, Peter - Wirtschaftswissenschaftliche Fakultät, … - 2012

popular approaches in this research field is given by Lasso-type methods. An alternative approach is based on information … criteria. In contrast to the Lasso, these methods also work well in the case of highly correlated predictors. However, this …

Persistent link: https://www.econbiz.de/10010580995

Short-term forecasting with mixed-frequency data: A MIDASSO approach

Siliverstovs, Boriss - 2015

-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …

Persistent link: https://www.econbiz.de/10011307779

Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators

Kurz-Kim, Jeong-Ryeol - 2016

Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...

Persistent link: https://www.econbiz.de/10011567405

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

partial least squares and LASSO appear most promising. Also, the forecast potential of Google search terms vis-avis survey …

Persistent link: https://www.econbiz.de/10011667607

International Inflation Synchronization and Implications

Chon, Sora - In: KDI Journal of Economic Policy 42 (2020) 2, pp. 57-84

This study analyzes global inflation synchronization and derives policy implications for the Korean economy. Unlike previous studies that assume a single global inflation factor, this study investigates if inflation in Korea can be explained further by other global inflation factors. Our...

Persistent link: https://www.econbiz.de/10012298159