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How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

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  • Inoue, Atsushi
  • Kilian, Lutz

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 103 (2008)
Issue (Month): (June)
Pages: 511-522

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Handle: RePEc:bes:jnlasa:v:103:y:2008:m:june:p:511-522

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Cited by:
  1. Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
  2. KOROBILIS, Dimitris, 2011. "Hierarchical shrinkage priors for dynamic regressions with many predictors," CORE Discussion Papers 2011021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
  4. Raffaella Giacomini, 2012. "Incorporating theoretical restrictions into forecasting by projection methods," 2012 Meeting Papers 548, Society for Economic Dynamics.
  5. In Choi & Seong Jin Hwang, 2012. "Forecasting Korean inflation," Working Papers 1202, Research Institute for Market Economy, Sogang University.
  6. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  7. Francesco Audrino & Marcelo C. Medeiros, 2011. "Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 999-1022, 09.
  8. Shawn Ni & Antonello Loddo & Dongchu Sun, 2009. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers 0911, Department of Economics, University of Missouri.
  9. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
  10. Fabian Krueger & Frieder Mokinski & Winfried Pohlmeier, 2011. "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 63-81, February.
  11. Hyun Hak Kim & Norman Swanson, 2013. "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers 201316, Rutgers University, Department of Economics.

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