Improving empirical models and forecasts with saturation-based machine learning
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Cites work
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- A general approach to Lagrange multiplier model diagnostics
- Automatic selection of indicators in a fully saturated regression
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- Evaluating automatic model selection
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- Modelling our changing world
- Pooling of forecasts
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- Rejoinder: Asymptotic theory of outlier detection algorithms for linear time series regression models
- Robustifying forecasts from equilibrium-correction systems
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Conditional Predictive Ability
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- The Methodology and Practice of Econometrics
- The Rationality and Efficiency of Individuals' Forecasts
- The use of dummy variables to compute predictions, prediction errors, and confidence intervals
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