Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100310
Authors: 
Zeng, Jing
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Forecasting B16-V2
Abstract: 
Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting model for an eco- nomic aggregate may improve the forecasting accuracy. In this paper we suggest to use boosting as a method to select the disaggregate variables which are most helpful in predicting an aggregate of interest. We compare this method with the direct forecast of the aggregate, a forecast which aggregates the disaggregate forecasts and a direct forecast which additionally uses information from factors obtained from the disaggregate components. A recursive pseudo-out-of-sample forecasting experiment for key Euro area macroeconomic variables is conducted. The results suggest that using boosting to select relevant predictors is a viable and competitive approach in forecasting an aggregate.
JEL: 
C43
C53
C22
Document Type: 
Conference Paper

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