Real-time forecasting of Colombian consumer price inflation using high-dimensional methods

DOI10.15446/RCE.V48N2.116414MaRDI QIDQ6954608zbMATH OpenFDO

Authors Héctor M. Zárate-Solano, Miguel A. Manrique-Rodriguez

Publication date 23 July 2025

Published in Revista Colombiana de Estadística (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15446/RCE.V48N2.116414

zbMATH Keywords

ensemblesforecasting inflationLassomachine learningpenalized regressionshrinkage

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

Cites work

• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• A lava attack on the recovery of sums of dense and sparse signals
• Complete subset regressions with large-dimensional sets of predictors
• Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• Generalized Shrinkage Methods for Forecasting Using Many Predictors
• High-dimensional statistics. A non-asymptotic viewpoint
• How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
• Macroeconomic forecasting in the era of big data. Theory and practice
• The elements of statistical learning. Data mining, inference, and prediction

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