Complete subset regressions

DOI10.1016/J.JECONOM.2013.04.017zbMath1288.62139OpenAlexW2127546500MaRDI QIDQ134090

Allan Timmermann, Graham Elliott, Antonio Gargano, Graham Elliott, Antonio Gargano, Allan G. Timmermann

Publication date: December 2013

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/1st3n7z7

zbMATH Keywords

shrinkageforecast combinationsubset regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (28)

COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS ⋮ The determinants of CDS spreads: evidence from the model space ⋮ Forecasting benchmarks of long-term stock returns via machine learning ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ Complete subset regressions with large-dimensional sets of predictors ⋮ Stocks recommendation from large datasets using important company and economic indicators ⋮ Forecasting macroeconomic variables in data-rich environments ⋮ Complete subset least squares support vector regression ⋮ Forecasting crude oil prices: do technical indicators need economic constraints? ⋮ Tactical sales forecasting using a very large set of macroeconomic indicators ⋮ Complete subset averaging approach for high-dimensional generalized linear models ⋮ Time-varying forecast combination for high-dimensional data ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Nonparametric prediction of stock returns based on yearly data: the long-term view ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ High-dimensional predictive regression in the presence of cointegration ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ Forecasting using random subspace methods ⋮ Bayesian compressed vector autoregressions ⋮ Predictive model averaging with parameter instability and heteroskedasticity ⋮ Robust inference in AR-G/GARCH models under model uncertainty ⋮ MSGARCHelm ⋮ Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods ⋮ In Search of a Job: Forecasting Employment Growth Using Google Trends ⋮ Multiple Regression Model Averaging and the Focused Information Criterion With an Application to Portfolio Choice ⋮ ForecastComb ⋮ Distribution theory of the least squares averaging estimator

Uses Software

• SSS
• glmnet

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bagging predictors
• The Adaptive Lasso and Its Oracle Properties
• Approximately normal tests for equal predictive accuracy in nested models
• Predictability of stock returns and asset allocation under structural breaks
• Optimal prediction pools
• Cross-validation prior choice in Bayesian probit regression with many covariates
• On the adaptive elastic net with a diverging number of parameters
• Time-varying combinations of predictive densities using nonlinear filtering
• Time-varying sparsity in dynamic regression models
• Calibration and empirical Bayes variable selection
• Optimal Weight Choice for Frequentist Model Average Estimators
• How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
• Bayesian Model Averaging for Linear Regression Models
• Automatic Block-Length Selection for the Dependent Bootstrap
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Shotgun Stochastic Search for “Largep” Regression
• Regularization and Variable Selection Via the Elastic Net
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Transdimensional Markov Chains
• Benchmark priors for Bayesian model averaging.

This page was built for publication: Complete subset regressions