Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany
AbstractThe use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection device that iteratively adds the predictors with the largest contribution to the fit. Using data for the United States, the euro area and Germany, we assess the performance of boosting when forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the method used for determining its key regularisation parameter, the number of iterations. We find that boosting mostly outperforms the autoregressive benchmark, and that K-fold cross-validation works much better as stopping criterion than the commonly used information criteria.
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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4148.
Date of creation: 2013
Date of revision:
macroeconomic forecasting; component-wise boosting; large datasets; variable selection; model selection criteria;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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