Forecasting macroeconomic variables in data-rich environments

DOI10.1016/J.ECONLET.2015.11.017MaRDI QIDQ1667993zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model selectionforecastingshrinkagebig dataLASSO

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Complete subset regressions
• Determining the Number of Factors in Approximate Factor Models
• Forecasting economic time series using targeted predictors
• How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
• Tests of Conditional Predictive Ability
• The Adaptive Lasso and Its Oracle Properties

Cited in

(17)

• Forecast robustness in macroeconometric models
• scientific article; zbMATH DE number 1179949 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 5258476 (Why is no real title available?)
• 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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