Forecasting economic time series using targeted predictors
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Cites work
- scientific article; zbMATH DE number 3624650 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A new approach to variable selection in least squares problems
- Are more data always better for factor analysis?
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Ideal spatial adaptation by wavelet shrinkage
- Least angle regression. (With discussion)
- Prediction by Supervised Principal Components
- Regularization and Variable Selection Via the Elastic Net
- The Generalized Dynamic Factor Model
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(65)- In Search of a Job: Forecasting Employment Growth Using Google Trends
- Interpretable Sparse Proximate Factors for Large Dimensions
- Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Markov-Switching Three-Pass Regression Filter
- Are Latent Factor Regression and Sparse Regression Adequate?
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- On LASSO for high dimensional predictive regression
- Diffusion Indexes With Sparse Loadings
- Nonparametric Estimation and Conformal Inference of the Sufficient Forecasting With a Diverging Number of Factors
- Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Inference in Additively Separable Models With a High-Dimensional Set of Conditioning Variables
- Inference in High-Dimensional Multivariate Response Regression with Hidden Variables
- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
- Forecasting crude oil prices: do technical indicators need economic constraints?
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- Identification of Time-Varying Factor Models
- Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models
- Nonconcave penalized estimation in sparse vector autoregression model
- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- Real-time factor model forecasting and the effects of instability
- Factor modelling for high-dimensional time series: inference and model selection
- A model-free consistent test for structural change in regression possibly with endogeneity
- Forecasting using targeted diffusion indexes
- Did financial factors matter during the Great Recession?
- Are bond returns predictable with real-time macro data?
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Information, data dimension and factor structure
- Forecasting by factors, by variables, by both or neither?
- Long-term forecasting of El Niño events via dynamic factor simulations
- Forecasting using random subspace methods
- Portfolio selection in a data-rich environment
- Dynamic variable selection with spike-and-slab process priors
- Penalized averaging of parametric and non-parametric quantile forecasts
- scientific article; zbMATH DE number 7415120 (Why is no real title available?)
- Inference in latent factor regression with clusterable features
- Real-time nowcasting of nominal GDP with structural breaks
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Tactical sales forecasting using a very large set of macroeconomic indicators
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Short-term forecasts of French GDP: a dynamic factor model with targeted predictors
- Structured variable selection via prior-induced hierarchical penalty functions
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
- Improved index insurance design and yield estimation using a dynamic factor forecasting approach
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- To combine forecasts or to combine information?
- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Diffusion index model specification and estimation using mixed frequency datasets
- Lasso–type and Heuristic Strategies in Model Selection and Forecasting
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- Disentangling the effects of multiple treatments -- measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake
- Forecast accuracy and effort: the case of US inflation rates
- Optimal discriminant analysis in high-dimensional latent factor models
- Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
- Forecasting macroeconomic variables in data-rich environments
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- The three-pass regression filter: a new approach to forecasting using many predictors
- Estimation and inference in heterogeneous spatial panels with a multifactor error structure
- Sufficient forecasting using factor models
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
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