Forecasting with many predictors: Is boosting a viable alternative?
AbstractThis paper evaluates the forecast performance of boosting in comparison to the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). We find that boosting is a serious competitor for forecasting US industrial production.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 113 (2011)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Forecasting Boosting Large datasets;
Other versions of this item:
- Buchen, Teresa & Wohlrabe, Klaus, 2010. "Forecasting with many predictors - Is boosting a viable alternative?," Discussion Papers in Economics 11788, University of Munich, Department of Economics.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 607-629.
- Timmermann, Allan G, 2005.
CEPR Discussion Papers
5361, C.E.P.R. Discussion Papers.
- Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, Elsevier.
- Shafik, Nivien & Tutz, Gerhard, 2009. "Boosting nonlinear additive autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2453-2464, May.
- Teresa Buchen & Klaus Wohlrabe, 2013.
"Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany,"
CESifo Working Paper Series
4148, CESifo Group Munich.
- Klaus Wohlrabe & Teresa Buchen, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 231-242, 07.
- Souhaib Ben Taieb & Rob J Hyndman, 2014. "Boosting multi-step autoregressive forecasts," Monash Econometrics and Business Statistics Working Papers 13/14, Monash University, Department of Econometrics and Business Statistics.
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