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Buchen, Teresa; Wohlrabe, Klaus (6. September 2010): Forecasting with many predictors - Is boosting a viable alternative? Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2010-31
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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.