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Boosting diffusion indices

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References

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2008Forecasting economic time series using targeted predictors704 cited
2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?521 cited

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2015Stock market volatility: Identifying major drivers and the nature of their impact118 cited
2017Predicting recessions with boosted regression trees117 cited
2010Forecasting large datasets with Bayesian reduced rank multivariate models109 cited
2010To Combine Forecasts or to Combine Information?

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107 cited

2015Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle104 cited

2011Variable selection, estimation and inference for multi-period forecasting problems94 cited

2014Viewpoint: Boosting Recessions71 cited

2016Forecasting in Economics and Finance69 cited

2016Revisiting useful approaches to data-rich macroeconomic forecasting67 cited

2009What is the Shape of the Risk-Return Relation?65 cited

2011Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks56 cited

2020Macroeconomic forecasting using factor models and machine learning: an application to Japan53 cited

2018Understanding survey-based inflation expectations46 cited