Bagging or combining (or both)? An analysis based on forecasting U.S. employment growth

Econometric Reviews

Volumn 29, Issue 5, 2010, Pages 511-533

  Rapach, David E ^a   Strauss, Jack K ^a  

^a SAINT LOUIS UNIVERSITY   (United States)

Author keywords

Bagging; Combination forecasts; Employment; Forecast encompassing; Principal components

Indexed keywords

EID: 77956724794     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2010.481550     Document Type: Article

References (24)

1. Aiolfi, M., Timmermann, A. (2006). Persistence in forecasting performance and conditional combination strategies. Journal of Econometrics 135:31-53.
2. Armah, N. A., Swanson, N. R. (2007). Seeing inside the black box: Using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments. Manuscript, Rutgers University.
3. Bai, J., Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica 70:191-221.
4. Bai, J. Ng, S. (2006). Evaluating latent and observed factors in macroeconomics and finance. Journal of Econometrics 113:507-537.
5. Bates, J. M., Granger, C. W. J. (1969). The combination of forecasts. Operational Research Quarterly 20:451-468.
6. Breiman, L. (1996). Bagging predictors. Machine Learning 24:123-140.
7. Chan, Y. L., Stock, J. H., Watson, M. W. (1999). A dynamic factor model framework for forecast combination. Spanish Economic Review 1:91-121.
8. Chong, Y. Y., Hendry, D. F. (1986). Econometric evaluation of linear macro-economic models. Review of Economic Studies 53:671-690.
9. Clements, M. P., Hendry, D. F. (1998). Forecasting Economic Time Series. Cambridge: Cambridge University Press.
10. Corradi, V., Swanson, N. R. (2006). Predictive density evaluation. In: Elliott, G., Granger, C. W. J., Timmermann, A., eds. Handbook of Economic Forecasting. Amsterdam: Elsevier, pp. 197-284.
11. Diebold, F. X., Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics 13:253-263.
12. Figlewski, S. (1983). Optimal price forecasting using survey data. Review of Economics and Statistics 65:13-21.
13. Granger, C. W. J., Newbold, P. (1973). Some comments on the evaluation of economic forecasts. Applied Economics 5:35-47.
14. Harvey, D. I., Leybourne, S. J., Newbold, P. (1998). Tests for forecast encompassing. Journal of Business and Economic Statistics 16:254-259.
15. Huang, H., Lee, T.-H. (2007). To combine forecasts or to combine information? Manuscript, University of California, Riverside.
16. Inoue, A., Kilian, L. (2008). How useful is bagging in forecasting economic time series? A case study of U.S. CPI inflation. Journal of the American Statistical Association 103:511-522.
17. Lee, T.-H., Yang, Y. (2006). Bagging binary and quantile predictors for time series. Journal of Econometrics 135:465-497.
18. Newey, W. K., West, K. D. (1987). A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-708.
19. Rapach, D. E., Strauss, J. K. (2008). Forecasting U.S. employment growth using forecast combining methods. Journal of Forecasting 27:75-93.
20. Stock, J. H., Watson, M. W. (1999). Forecasting inflation. Journal of Monetary Economics 44:293-335.
21. Stock, J. H., Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics 20:147-162.
22. Stock, J. H., Watson, M. W. (2003). Forecasting output growth and inflation: The role of asset prices. Journal of Economic Literature 41:788-829.
23. Stock, J. H., Watson, M. W. (2004). Combination forecasts of output growth in a seven-country data set. Journal of Forecasting 23:405-430.
24. Timmermann, A. (2006). Forecast combinations. In: Elliott, G., Granger, C. W. J., Timmermann, A., eds. Handbook of Economic Forecasting. Amsterdam: Elsevier, pp. 135-196.