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How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
14 references·16 citing·43 second hop
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References

  • 1969The Combination of Forecasts3,194 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 2002Stock return predictability and model uncertainty636 cited
  • 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
  • 2003Macroeconomic forecasting in the Euro area: Country specific versus area-wide information415 cited
  • 2003Do financial variables help forecasting inflation and real activity in the euro area?336 cited
  • 1993Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates307 cited
  • 2008Bayesian Model Averaging and exchange rate forecasts247 cited
  • 2001Stock Return Predictability: A Bayesian Model Selection Perspective240 cited

Cited by

  • 2014

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Forecasting commodity price indexes using macroeconomic and financial predictors
177 cited
  • 2019Bootstrap Aggregating and Random Forest167 cited
  • 2015Forecasting with factor-augmented regression: A frequentist model averaging approach141 cited
  • 2010Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence138 cited
  • 2012Choice of Sample Split in Out-of-Sample Forecast Evaluation137 cited
  • 2016Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection and Shrinkage Methods119 cited
  • 2020In Search of a Job: Forecasting Employment Growth Using Google Trends111 cited
  • 2020A new ensemble deep learning approach for exchange rates forecasting and trading102 cited
  • 2010The Benefits of Bagging for Forecast Models of Realized Volatility95 cited
  • 2016Cross-validation aggregation for combining autoregressive neural network forecasts75 cited
  • 2014Forecasting the Distribution of Economic Variables in a Data-Rich Environment68 cited
  • 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
  • 2016Model Confidence Sets and forecast combination65 cited
  • 2018Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing65 cited
  • 2020Automatic robust estimation for exponential smoothing: Perspectives from statistics and machine learning64 cited
  • 2017Bagging in Tourism Demand Modeling and Forecasting64 cited