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