Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
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DOI: 10.1016/j.jeconom.2013.08.033
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- Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
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More about this item
Keywords
Bagging; Bayesian model averaging; Boosting; Diffusion index; Elastic net; Forecasting; Least angle regression; Non-negative garotte; Prediction; Reality check; Ridge regression;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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