Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5106427 | International Journal of Forecasting | 2017 | 15 Pages |
Abstract
We show that high-dimensional econometric models, such as shrinkage and complete subset regression, perform very well in the real-time forecasting of inflation in data-rich environments. We use Brazilian inflation as an application. It is ideal as an example because it exhibits a high short-term volatility, and several agents devote extensive resources to forecasting its short-term behavior. Thus, precise forecasts made by specialists are available both as a benchmark and as an important candidate regressor for the forecasting models. Furthermore, we combine forecasts based on model confidence sets and show that model combination can achieve superior predictive performances.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Márcio G.P. Garcia, Marcelo C. Medeiros, Gabriel F.R. Vasconcelos,