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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- CapistrÃ¡n, Carlos & Timmermann, Allan, 2009.
"Forecast Combination With Entry and Exit of Experts,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 27(4), pages 428-440.
- Carlos Capistrán & Allan Timmermann, 2006. "Forecast Combination with Entry and Exit of Experts," Working Papers 2006-08, Banco de México.
- Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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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