How useful is bagging in forecasting economic time series? A case study of U.S. Consumer Price Inflation

Journal of the American Statistical Association

Volumn 103, Issue 482, 2008, Pages 511-522

  Inoue, Atsushi ^a,b   Kilian, Lutz ^c  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Bayesian model averaging; Bootstrap aggregation; Factor model; Forecast combination; Forecasting model selection; Pre testing; Shrinkage estimation

Indexed keywords

EID: 49549108456     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214507000000473     Document Type: Article

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