Macroeconomic forecasting for Australia using a large number of predictors

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posted on 2022-11-09, 02:40 authored by Bin Jiang, George Athanasopoulos, Rob J Hyndman, Anastasios Panagiotelis, Farshid Vahid

A popular approach to forecasting macroeconomic variables is to utilize a large number of predictors. Several regularization and

History

Classification-JEL

C52, C53, C55

Creation date

2016-12-14

Working Paper Series Number

2/17

Length

44

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-2

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Keywords

Australian economy Bayesian VAR bagging dynamic factor model ridge regression least angular regression shrinkage regularization.

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