Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods

DOI10.1016/j.csda.2015.02.017zbMath1466.62112MaRDI QIDQ1659126

George Kapetanios, Massimiliano Marcellino, Fotis Papailias

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.02.017

zbMATH Keywords

partial least squares; inflation; forecasting; principal components; GDP; information criteria; heuristic optimisation; Bayesian shrinkage regression; unbalanced datasets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

Uses Software

• PcGets
• NMOF

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Global optimization of statistical functions with simulated annealing
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Portfolio management with heuristic optimization.
• A genetic estimation algorithm for parameters of stochastic ordinary differential equations
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Variable selection in regression models using nonstandard optimisation of information criteria
• Estimating the dimension of a model
• Global optimization performance measures for generalized hill climbing algorithms
• Information criteria for selecting possibly misspecified parametric models
• Forecasting with many predictors: is boosting a viable alternative?
• On the structure of partial least squares regression
• Cooling Schedules for Optimal Annealing
• Dynamic Econometrics
• Forecasting Using Principal Components From a Large Number of Predictors
• Classical Model Selection via Simulated Annealing
• The Generalized Dynamic Factor Model
• Benchmark priors for Bayesian model averaging.
• Computer automation of general-to-specific model selection procedures
• Global optimization of econometric functions.
• A new look at the statistical model identification