Variable Selection in Predictive MIDAS Models
نویسندگان
چکیده
منابع مشابه
Variable Selection in Predictive Regressions
This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. I first discuss criterion based procedures in the conventional case when N is small relative to the sample size, T . I then turn to the large N case. Regularization and dimension reduction methods are then discussed. Irrespecti...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2531339