
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 |
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Form of publication: | Submitted Version |
Keywords: | Forecasting, Boosting, Cross-validation |
Faculties: | Economics Economics > Munich Discussion Papers in Economics |
Subjects: | 300 Social sciences > 300 Social sciences, sociology and anthropology 300 Social sciences > 330 Economics |
JEL Classification: | C53, E27 |
URN: | urn:nbn:de:bvb:19-epub-11788-5 |
Language: | English |
Item ID: | 11788 |
Date Deposited: | 13. Sep 2010, 16:05 |
Last Modified: | 05. Nov 2020, 05:46 |