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Variable Selection in Predictive MIDAS Models
16 references·6 citing·41 second hop
Variable Selection in Predictive MIDAS Models (2014)Variable Selection in Predictive MIDAS Mo…Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Should Macroeconomic Forecast…Now-Casting and the Real-Time Data Flow (2013)Now-Casting and the Real-Time…Bayesian Variable Selection for Nowcasting Economic Time Series (2013)Bayesian Variable Selection f…MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area (2010)MIDAS vs. mixed-frequency VAR…Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP* (2010)Factor MIDAS for Nowcasting a…Forecasting US output growth using leading indicators: an appraisal using MIDAS models (2009)Forecasting US output growth …Phillips Curve Inflation Forecasts (2008)Phillips Curve Inflation Fore…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? (2008)Forecasting using a large num…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…The MIDAS Touch: Mixed Data Sampling Regression Models (2004)The MIDAS Touch: Mixed Data S…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…To combine or not to combine? issues of combining forecasts (1992)To combine or not to combine?…Enhancing portfolio management using artificial intelligence: literature review (2024)Enhancing portfolio managemen…Forecasting crude oil volatility with uncertainty indicators: New evidence (2022)Forecasting crude oil volatil…Nowcasting World GDP Growth with High-Frequency Data (2020)Nowcasting World GDP Growth w…Why Financial Advice Cannot Substitute for Financial Literacy? (2015)Why Financial Advice Cannot S…On the Size of the Government Spending Multiplier in the Euro Area (2015)On the Size of the Government…Trade Networks and Colonial Trade Spillovers (2014)Trade Networks and Colonial T…The Combination of Forecasts (1969)Combining forecasts: A review and annotated bibliography (1989)The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)Forecasting Stock Returns (2013)Systemic risk and the macroeconomy: An empirical evaluation (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)New Eurocoin: Tracking Economic Growth in Real Time (2010)Range‐Based Estimation of Stochastic Volatility Models (2002)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Why Do Absolute Returns Predict Volatility So Well? (2006)Macroeconomic Forecasting With Mixed-Frequency Data (2008)Parametric and Nonparametric Volatility Measurement (2010)Large Bayesian vector auto regressions (2009)Macroeconomic Nowcasting and Forecasting with Big Data (2018)The future of fintech (2019)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Determining the Number of Factors in Approximate Factor Models (2002)Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials (2013)Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS (2018)A PANIC Attack on Unit Roots and Cointegration (2004)Measuring Uncertainty (2015)Sparse and stable Markowitz portfolios (2009)Panel Vector Autoregressive Models: A Survey (2013)
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References

  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 2004The MIDAS Touch: Mixed Data Sampling Regression Models563 cited
  • 2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?521 cited
  • 2013Now-Casting and the Real-Time Data Flow452 cited
  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?331 cited
  • 2008Phillips Curve Inflation Forecasts326 cited
  • 2010MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area312 cited
  • 2010Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP*298 cited
  • 2009Forecasting US output growth using leading indicators: an appraisal using MIDAS models236 cited
  • 1992To combine or not to combine? issues of combining forecasts

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222 cited
  • 2013Bayesian Variable Selection for Nowcasting Economic Time Series137 cited
  • Cited by

    • 2022Forecasting crude oil volatility with uncertainty indicators: New evidence81 cited
    • 2024Enhancing portfolio management using artificial intelligence: literature review54 cited
    • 2020Nowcasting World GDP Growth with High-Frequency Data45 cited
    • 2015Why Financial Advice Cannot Substitute for Financial Literacy?22 cited
    • 2015On the Size of the Government Spending Multiplier in the Euro Area18 cited
    • 2014Trade Networks and Colonial Trade Spillovers16 cited