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Variable Selection in Predictive MIDAS Models · Study

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PreprintVariable Selection in Predictive MIDAS Models

Unknown author2014

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Preprintgreen2014

Variable Selection in Predictive MIDAS Models

Unknown author

56 citations·0/0 files stored·SSRN Electronic Journal

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Forecasting Techniques and Applications Statistical Methods and Applications Statistical Methods and Inference

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References

2002Forecasting Using Principal Components From a Large Number of Predictors 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2006Chapter 4 Forecast Combinations 2008Nowcasting: The real-time informational content of macroeconomic data 2007MIDAS Regressions: Further Results and New Directions 2008Forecasting economic time series using targeted predictors 2004The MIDAS Touch: Mixed Data Sampling Regression Models 2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

Cited by

2022Forecasting crude oil volatility with uncertainty indicators: New evidence 2024Enhancing portfolio management using artificial intelligence: literature review 2020Nowcasting World GDP Growth with High-Frequency Data 2015Why Financial Advice Cannot Substitute for Financial Literacy?2015On the Size of the Government Spending Multiplier in the Euro Area

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Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations56

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.2139/ssrn.2531339

openalex_workW49186475

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