Arbeitspapier
Forecasting with dynamics models using shrinkage-based estimation
The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial advantages compared to standard autoregressive models. An empirical application focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 635
- Klassifikation
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
- Thema
-
shrinkage
forecasting
Wirtschaftsprognose
Inflationsrate
Volkseinkommen
Statistische Methode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Carriero, Andrea
Kapetanios, George
Marcellino, Massimiliano
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Carriero, Andrea
- Kapetanios, George
- Marcellino, Massimiliano
- Queen Mary University of London, Department of Economics
Entstanden
- 2008
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