Forecasting macroeconomic variables in data-rich environments

DOI10.1016/j.econlet.2015.11.017zbMath1396.62279OpenAlexW2190544473MaRDI QIDQ1667993

Gabriel F. R. Vasconcelos, Marcelo C. Medeiros

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)

Related Items (1)

Structural inference in sparse high-dimensional vector autoregressions

Cites Work

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• Complete subset regressions
• The Adaptive Lasso and Its Oracle Properties
• 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
• Determining the Number of Factors in Approximate Factor Models

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