Forecasting with many predictors - Is boosting a viable alternative?

Buchen, Teresa and Wohlrabe, Klaus (2010): Forecasting with many predictors - Is boosting a viable alternative? Discussion Papers in Economics 2010-31

Abstract

This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). Using the same data set and comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the short run and that it performs best in the longer run.

• Item Type: Paper (Discussion Paper)
• Status: Submitted Version
• Keywords: Forecasting, Boosting, Cross-validation
• Collections: Economics; Economics > Discussion Papers in Economics
• Subjects: 300 Social sciences > 300 Social sciences, sociology and anthropology; 300 Social sciences > 330 Economics
• JEL Classification: C53, E27
• Language: English