LAUSR

Macroeconomic forecasting using penalized regression methods

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0 Published in 2018 at "International Journal of Forecasting"

DOI: 10.1016/j.ijforecast.2018.01.001

Abstract: We study the suitability of lasso-type penalized regression techniques when applied to macroeconomic forecasting with high-dimensional datasets. We consider performance of the lasso-type methods when the true DGP is a factor model, contradicting the sparsity… read more here.

Keywords: penalized regression; forecasting using; regression; macroeconomic forecasting ... See more keywords