Forecasting macroeconomic variables in data-rich environments

DOI10.1016/J.ECONLET.2015.11.017zbMATH Open1396.62279OpenAlexW2190544473MaRDI QIDQ1667993FDOQ1667993

Authors: Marcelo C. Medeiros, Gabriel F. R. Vasconcelos 

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.017

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zbMATH Keywords

model selectionforecastingshrinkagebig dataLASSO

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Complete subset regressions
• The Adaptive Lasso and Its Oracle Properties
• Title not available (Why is that?)
• Determining the Number of Factors in Approximate Factor Models
• Forecasting economic time series using targeted predictors
• Title not available (Why is that?)
• Tests of Conditional Predictive Ability
• How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

Cited In (17)

• Forecast robustness in macroeconometric models
• Title not available (Why is that?)
• Forecasting key macroeconomic variables from a large number of predictors: a state space approach
• Bayesian forecasting with highly correlated predictors
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• Forecasting net charge-off rates of banks: a PLS approach
• Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
• Title not available (Why is that?)
• Revisiting useful approaches to data-rich macroeconomic forecasting
• The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
• News-based forecasts of macroeconomic indicators: a semantic path model for interpretable predictions
• Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
• Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
• Structural inference in sparse high-dimensional vector autoregressions
• Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
• Macroeconomic forecasting based on LSTM-conditioned normalizing flows
• Forecasting in vector autoregressions with many predictors

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