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Complete subset regressions · Study

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ArticleComplete subset regressions

Graham Elliott2013

OA

Articlegreen2013

Complete subset regressions

Graham Elliott · Antonio Gargano · Allan Timmermann

211 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Statistical Methods and Inference Stock Market Forecasting Methods

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References

2002Illiquidity and stock returns: cross-section and time-series effects 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1969The Combination of Forecasts 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2006Approximately normal tests for equal predictive accuracy in nested models 1989Combining forecasts: A review and annotated bibliography 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy 1990Combining forecasts: A review and annotated bibliography

Cited by

2019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?2022Targeting predictors in random forest regression 2014Forecasting commodity price indexes using macroeconomic and financial predictors 2019Forecasting oil price volatility: Forecast combination versus shrinkage method 2017Bond Return Predictability: Economic Value and Links to the Macroeconomy

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Details

Year2013

Typearticle

Published2013-04-18

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations211

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2013.04.017

openalex_workW2127546500

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2016

Nonlinear forecasting with many predictors using kernel ridge regression

2015Forecasting with factor-augmented regression: A frequentist model averaging approach

2023Machine learning and fund characteristics help to select mutual funds with positive alpha