In this paper we evaluate the relative merits of three alternative approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and of single-indicator-based forecast pooling.
Are there any reliable leading indicators for the US inflation and GDP growth
MARCELLINO, MASSIMILIANO;
2006
Abstract
In this paper we evaluate the relative merits of three alternative approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and of single-indicator-based forecast pooling.
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