Forecasting with many predictors - Is boosting a viable alternative?

Teresa Buchen and Klaus Wohlrabe

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). Using the same data set and comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the short run and that it performs best in the longer run.

Keywords: Forecasting; Boosting; Cross-validation (search for similar items in EconPapers)
JEL-codes: C53 E27 (search for similar items in EconPapers)
Date: 2010-09-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (4)

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https://epub.ub.uni-muenchen.de/11788/1/masterfile_boosting.pdf (application/pdf)

Related works:
Journal Article: Forecasting with many predictors: Is boosting a viable alternative? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:11788

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