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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 635
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
- Subject
-
shrinkage
forecasting
Wirtschaftsprognose
Inflationsrate
Volkseinkommen
Statistische Methode
- Event
-
Geistige Schöpfung
- (who)
-
Carriero, Andrea
Kapetanios, George
Marcellino, Massimiliano
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Carriero, Andrea
- Kapetanios, George
- Marcellino, Massimiliano
- Queen Mary University of London, Department of Economics
Time of origin
- 2008
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