کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7408478 1481443 2014 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models
چکیده انگلیسی
In a data-rich environment, forecasting economic variables amounts to extracting and organizing useful information from a large number of predictors. So far, the dynamic factor model and its variants have been the most successful models for such exercises. In this paper, we investigate a category of LASSO-based approaches and evaluate their predictive abilities for forecasting twenty important macroeconomic variables. These alternative models can handle hundreds of data series simultaneously, and extract useful information for forecasting. We also show, both analytically and empirically, that combing forecasts from LASSO-based models with those from dynamic factor models can reduce the mean square forecast error (MSFE) further. Our three main findings can be summarized as follows. First, for most of the variables under investigation, all of the LASSO-based models outperform dynamic factor models in the out-of-sample forecast evaluations. Second, by extracting information and formulating predictors at economically meaningful block levels, the new methods greatly enhance the interpretability of the models. Third, once forecasts from a LASSO-based approach are combined with those from a dynamic factor model by forecast combination techniques, the combined forecasts are significantly better than either dynamic factor model forecasts or the naïve random walk benchmark.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 30, Issue 4, October–December 2014, Pages 996-1015
نویسندگان
, ,