High-dimensional macroeconomic forecasting and variable selection via penalized regression

DOI10.1111/ECTJ.12117MaRDI QIDQ5084328zbMATH OpenOpenAlexWikidataFDO

Authors Yoshimasa Uematsu, Shinya Tanaka

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12117

zbMATH Keywords

macroeconomic forecastingmixed data sampling (MIDAS)oracle inequalitypenalized regressionportfolio selectionultra-high-dimensional time series

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(13)

• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Nonsparse learning with latent variables
• L₀-Regularized Learning for High-Dimensional Additive Hazards Regression
• A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models
• The Bayesian nested Lasso for mixed frequency regression models
• Feature selection based on the best-path algorithm in high dimensional graphical models
• Machine Learning Time Series Regressions With an Application to Nowcasting
• High-Dimensional Interaction Detection With False Sign Rate Control
• A principal-weighted penalized regression model and its application in economic modeling
• High-dimensional mixed data sampling models with a covariate-dependent threshold
• Hard-thresholding regularization method for high-dimensional heterogeneous models
• Loss given default model for online microloans using neural network based quantile model
• Nonlinear forecasting with many predictors using mixed data sampling kernel ridge regression models

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