O'Reilly logo

Handbook of Economic Forecasting by Allan Timmermann, Graham Elliott

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 14

Variable Selection in Predictive Regressions

Serena Ng,     Columbia University

Abstract

This chapter reviews methods for selecting empirically relevant predictors from a set of image potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when image is small relative to the sample size, image, are reviewed. Then the large case is covered. Regularization and dimension reduction ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required