| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4320
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| DP4320 Spillover Effects, Bank Lending and Growth |
| Sumru G. Altug; Murat Usman
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| 发表日期 | 2004-03-23
|
| 出版年 | 2004
|
| 语种 | 英语
|
| 摘要 | A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression models with local-to-zero regression parameters and errors subject to possible serial correlation or conditional heteroskedasticity. Bagging is designed for situations in which the number of predictors (M) is moderately large relative to the sample size (T). We show how to implement bagging in the dynamic multiple regression model and provide asymptotic justification for the bagging predictor. A simulation study shows that bagging tends to produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting from factor models when M is large, but much smaller than T. We also find that bagging indicators of real economic activity greatly reduces the prediction mean squared error of forecasts of US CPI inflation at horizons of one month and one year. |
| 主题 | International Macroeconomics
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| 关键词 | Bootstrap aggregation
Forecasting
Model selection
Pre-testing
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| URL | https://cepr.org/publications/dp4320
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533280
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推荐引用方式
GB/T 7714 |
Sumru G. Altug,Murat Usman. DP4320 Spillover Effects, Bank Lending and Growth. 2004.
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