Forecasting with dynamic models using shrinkage-based estimation

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dc.contributor.authorCARRIERO, Andrea
dc.contributor.authorKAPETANIOS, George
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2016-07-07T08:35:11Z
dc.date.available2016-07-07T08:35:11Z
dc.date.issued2008
dc.description.abstractThe paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial advantages compared to standard autoregressive models. An empirical application focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding.
dc.identifier.issn1473-0278
dc.identifier.urihttps://hdl.handle.net/1814/42343
dc.language.isoen
dc.relation.ispartofseriesQueen Mary University of Londonen
dc.relation.ispartofseriesWorking Papersen
dc.relation.ispartofseries2008/635en
dc.titleForecasting with dynamic models using shrinkage-based estimation
dc.typeWorking Paper
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other35441
person.identifier.other26452
relation.isAuthorOfPublication81b935b2-f2e4-4f1f-8a1e-c220c14082d7
relation.isAuthorOfPublication40c8706f-96c5-4201-aba5-626a9232e5d7
relation.isAuthorOfPublication.latestForDiscovery40c8706f-96c5-4201-aba5-626a9232e5d7
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