4 papers
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a fac…
High-dimensional censored MIDAS logistic regression for corporate survival forecasting
Wei Miao, Jad Beyhum, Jonas Striaukas +1
This paper addresses the challenge of forecasting corporate distress, a problem marked by three key statistical hurdles: (i) right censoring, (ii) high-dimensional predictors, and…
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…
Nowcasting and aggregation: Why small Euro area countries matter
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro release…