Bagging Binary Predictors for Time Series

Yang Yang and Tae Hwy Lee

No 512, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: Bootstrap aggregating or Bagging, introduced by Breiman (1996a), has been proved to be effective to improve on unstable forecast. Theoretical and empirical works using classification, regression trees, variable selection in linear and non-linear regression have shown that bagging can generate substantial prediction gain. However, most of the existing literature on bagging have been limited to the cross sectional circumstances with symmetric cost functions. In this paper, we extend the application of bagging to time series settings with asymmetric cost functions, particularly for predicting signs and quantiles. We link quantile predictions to binary predictions in a unified framwork. We find that bagging may improve the accuracy of unstable predictions for time series data under certain conditions. Various bagging forecast combinations are used such as equal weighted and Bayesian Model Averaging (BMA) weighted combinations. For demonstration, we present results from Monte Carlo experiments and from empirical applications using monthly S&P500 and NASDAQ stock index returns

Keywords: Asymmetric cost function; Bagging; Binary prediction; BMA; Forecast combination; Majority voting; Quantile prediction; Time Series. (search for similar items in EconPapers)
JEL-codes: C3 C5 G0 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.faculty.ucr.edu/~taelee/paper/baggingleeyang.pdf main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.faculty.ucr.edu:443 (Bad file descriptor) (http://www.faculty.ucr.edu/~taelee/paper/baggingleeyang.pdf [302 Found]--> https://www.faculty.ucr.edu/~taelee/paper/baggingleeyang.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:512

Access Statistics for this paper

More papers in Econometric Society 2004 Far Eastern Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().