Forecasting macroeconomic variables in data-rich environments

Marcelo Medeiros () and Gabriel F.R. Vasconcelos

Economics Letters, 2016, vol. 138, issue C, 50-52

Abstract: We show that high-dimensional models produce, on average, smaller forecasting errors for macroeconomic variables when we consider a large set of predictors. Our results showed that a good selection of the adaptive LASSO hyperparameters also reduces forecast errors.

Keywords: Big data; Forecasting; LASSO; Shrinkage; Model selection (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:138:y:2016:i:c:p:50-52

DOI: 10.1016/j.econlet.2015.11.017

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