Forecasting with many predictors: Is boosting a viable alternative?
This 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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- Shafik, Nivien & Tutz, Gerhard, 2009. "Boosting nonlinear additive autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2453-2464, May.
- Timmermann, Allan, 2006.
Handbook of Economic Forecasting,
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, School of Economics and Management, University of Aarhus.
- Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
- Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, Elsevier.
- Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 607-629.
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