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Looking into the Black Box of Boosting: The Case of Germany

Robert Lehmann () and Klaus Wohlrabe ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper looks into the 'fine print' of boosting for economic forecasting. By using German industrial production for the period from 1996 to 2014 and a data set consisting of 175 monthly indicators, we evaluate which indicators get selected by the boosting algorithm over time and four different forecasting horizons. It turns out that a number of hard indicators like turnovers, as well as a small number of survey results, get selected frequently by the algorithm and are therefore important to forecasting the performance of the German economy. However, there are indicators such as money supply that never get chosen by the boosting approach at all.

Keywords: boosting; economic forecasting; industrial production (search for similar items in EconPapers)
JEL-codes: C53 E17 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mac
Date: 2015-11-03
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Citations: View citations in EconPapers (4) Track citations by RSS feed

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https://mpra.ub.uni-muenchen.de/67608/1/MPRA_paper_67608.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/67628/1/MPRA_paper_67608.pdf revised version (application/pdf)

Related works:
Journal Article: Looking into the black box of boosting: the case of Germany (2016) Downloads
Working Paper: Looking into the black box of boosting: the case of Germany (2016)
Working Paper: Looking into the Black Box of Boosting: The Case of Germany (2015) Downloads
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