Forecasting with many predictors: Is boosting a viable alternative?

Teresa Buchen and Klaus Wohlrabe

Economics Letters, 2011, vol. 113, issue 1, 16-18

Abstract: This paper evaluates the forecast performance of boosting in comparison to the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). We find that boosting is a serious competitor for forecasting US industrial production.

Keywords: Forecasting; Boosting; Large; datasets (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (29)

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Working Paper: Forecasting with many predictors - Is boosting a viable alternative? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:1:p:16-18

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