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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
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Machine learning for regularized survey forecast combination : partially-egalitarian LASSO and its derivatives
Diebold, Francis X.; Shin, Minchul - In: International journal of forecasting 35 (2019) 4, pp. 1679-1691
Persistent link: https://www.econbiz.de/10012305515
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Forecasting foreign exchange markets using Google trends : prediction performance of competing models
Wilcoxson, Jordan; Follett, Lendie; Severe, Sean - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 412-422
Persistent link: https://www.econbiz.de/10012312346
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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
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Model selection and shrinkage : an overview
Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346
Persistent link: https://www.econbiz.de/10011592330
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Instrument selection for estimation of a forward-looking Phillips Curve
Berriel, Tiago; Medeiros, Marcelo C.; Sena, Marcelo J. - In: Economics letters 145 (2016), pp. 123-125
Persistent link: https://www.econbiz.de/10011618273
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Optimal and robust combination of forecasts via constrained optimization and shrinkage
Roccazzella, Francesco; Gambetti, Paolo; Vrins, Frédéric - In: International journal of forecasting 38 (2022) 1, pp. 97-116
Persistent link: https://www.econbiz.de/10013347741
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A study of cross-industry return predictability in the Chinese stock market
Ellington, Michael; Stamatogiannis, Michalis P.; Zheng, … - In: International review of financial analysis 83 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013455047
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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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A simple specification procedure for the transition function in persistent nonlinear time series models
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...
Persistent link: https://www.econbiz.de/10010294434