Cluster-based regularized sliced inverse regression for forecasting macroeconomic variables

DOI10.1007/S11424-014-3281-8zbMATH Open1294.93088arXiv1110.6135OpenAlexW2004281890MaRDI QIDQ741880FDOQ741880

Authors: Yue Yu, Jie Yang, Zhi-Hong Chen 

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Abstract: This article concerns the dimension reduction in regression for large data set. We introduce a new method based on the sliced inverse regression approach, called cluster-based regularized sliced inverse regression. Our method not only keeps the merit of considering both response and predictors' information, but also enhances the capability of handling highly correlated variables. It is justified under certain linearity conditions. An empirical application on a macroeconomic data set shows that our method has outperformed the dynamic factor model and other shrinkage methods.

Full work available at URL: https://arxiv.org/abs/1110.6135

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zbMATH Keywords

forecastsliced inverse regressionmacroeconomicscluster-based

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Sliced Inverse Regression for Dimension Reduction
• Sliced Inverse Regression with Regularizations
• Comment
• On almost linearity of low dimensional projections from high dimensional data
• Slicing regression: A link-free regression method
• On Directional Regression for Dimension Reduction
• A characterization of spherical distributions
• Title not available (Why is that?)
• Partial inverse regression
• Sliced inverse moment regression using weighted chi-squared tests for dimension reduction

Cited In (1)

• Efficient cluster-based portfolio optimization

Uses Software

• RSIR

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