2 citations · 5 across the 8 of their papers we have counts for
4 papers · 1 filter
Econometrics of Machine Learning Methods in Economic Forecasting
Andrii Babii, Eric Ghysels, Jonas Striaukas
This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data,…
Panel Data Nowcasting: The Case of Price-Earnings Ratios
Andrii Babii, Ryan T. Ball, Eric Ghysels +1
The paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting…
Testing for sparse idiosyncratic components in factor-augmented regression models
Jad Beyhum, Jonas Striaukas
We propose a novel bootstrap test of a dense model, namely factor regression, against a sparse plus dense alternative augmenting model with sparse idiosyncratic components. The asy…
Factor-augmented sparse MIDAS regressions with an application to nowcasting
Jad Beyhum, Jonas Striaukas
This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our…