Complete subset regressions
From MaRDI portal
Publication:134090
DOI10.1016/j.jeconom.2013.04.017zbMath1288.62139MaRDI 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
62M20: Inference from stochastic processes and prediction
62J05: Linear regression; mixed models
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Forecasting crude oil prices: do technical indicators need economic constraints?, COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS, 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, MSGARCHelm, ForecastComb, Nonparametric long term prediction of stock returns with generated bond yields, Forecasting with factor-augmented regression: a frequentist model averaging approach, Forecasting benchmarks of long-term stock returns via machine learning, Nonparametric prediction of stock returns based on yearly data: the long-term view, The determinants of CDS spreads: evidence from the model space, Complete subset regressions with large-dimensional sets of predictors, Forecasting macroeconomic variables in data-rich environments, Tactical sales forecasting using a very large set of macroeconomic indicators, Forecasting using random subspace methods, Bayesian compressed vector autoregressions, Stocks recommendation from large datasets using important company and economic indicators, High-dimensional predictive regression in the presence of cointegration, Distribution theory of the least squares averaging estimator, Complete subset least squares support vector regression, Estimating the variance of a combined forecast: bootstrap-based approach
Uses Software
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.