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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- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010.
CREATES Research Papers
2010-21, Department of Economics and Business Economics, Aarhus University.
- 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.
- Shafik, Nivien & Tutz, Gerhard, 2009. "Boosting nonlinear additive autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2453-2464, May.
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