Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104321
Authors: 
Buchen, Teresa
Wohlrabe, Klaus
Year of Publication: 
2010
Series/Report no.: 
Munich Discussion Paper 2010-31
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.
Subjects: 
Forecasting
Boosting
Cross-validation
JEL: 
C53
E27
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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