The Chen-Tindall system and the lasso operator: improving automatic model performance

Jiaqi Chen and Michael Tindall

No 16-1, Occasional Papers from Federal Reserve Bank of Dallas

Abstract: Using U.S. monthly macroeconomic data, the automatic model system presented in Chen and Tindall [2016] outperforms the lasso automatic system, but the lasso is improved where Bayesian model averaging is employed to combine its forecasts with those from autoregressive schemes. The best performance is obtained using Bayesian model averaging to combine the Chen?Tindall system, the lasso, and autoregressive schemes. Performance is virtually the same using this combined approach where the elastic-net operator is substituted for the lasso. Similar overall outcomes are found for France and Germany treated as a single economic system and for Canada.

Keywords: Automatic model building; Bayesian model averaging; elastic net; lasso (search for similar items in EconPapers)
Pages: 19 pages
Date: 2016-05-31
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