Forecasting economic time series using targeted predictors

By Jushan Bai, Serena Ng. 2008

657 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, methodology): “Similar datasets have been extensively studied in the forecasting literature (Bai and Ng, 2008; Ludvigson andNg, 2009).”
To Combine Forecasts or to Combine Information? (2010, methodology): “This problem with CI-PC leads Bai and Ng (2008a) to consider rst selecting a subset of predictors ( targeted predictors ) of x s that are informative in forecasting y; then using the subset to extract factors.”
Variable Selection in Predictive Regressions (2013, background): “The relation between static and dynamic factors can be found in Forni, Hallin, Lippi, and Reichlin (2005), Bai and Ng (2008b), Stock and Watson (2005).”
Working Paper Series (2019, neutral): “Bai and Ng (2008) used the data to compare diffusion index forecasting with predictors selected by hard thresholding.”
Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version (2013, background): “In factor-augmented regression, the factors are determined and ordered by their importance in driving the covariability of many predictors, which may not be consistent with their forecast power for the particular series of interest, an issue discussed in Bai and Ng (2008, 2009).”
Introducing the Euro-STING: Short Term INdicator of Euro Area Growth (2010, methodology): “In the spirit of forecasting economic time series using targeted predictors as in Bai and Ng (2008), we use our method to examine the need to use many predictors in forecasting euro area GDP growth.”
Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain (2012, methodology): “For theoretical and simulation evidence regarding Lasso’s performance, see Bai and Ng (2008, 2009a), Bickel, Ritov, and Tsybakov (2009), Bunea, Tsybakov, and Wegkamp (2006, 2007a, 2007b), Candes and Tao (2007), Huang, Horowitz, and Wei (2010), Knight (2008), Koltchinskii (2009), Lounici (2008),…”
Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods (2019, neutral): “Furthermore, either replacing standard principal component factors with target factors, as advocated by Bai and Ng (2008), or using boosting to select factors as in Bai and Ng (2009) improves the results only marginally.”
Forecasting: theory and practice (2020, background): “…Zou, 2006; and Elastic Nets: Zou and Hastie, 2005), variable combination (such as Principal Components Analysis and Partial Least Squares: Bai and Ng, 2008; Bai and Ng, 2009; Stock and Watson, 2012; Ding and Hwang, 1999; Forni et al., 2000; Zou et al., 2006), and machine learning methods…”
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (2010, neutral): “8 See Doz et al. (2006), Jungbacker and Koopman (2008), and Bai and Ng (2008) .”
Non-Stationary Dynamic Factor Models for Large Datasets (2016, methodology): “In particular, with condition (e) we require a mild form of sparsity as proposed by Fan et al. (2013) and found empirically in a stationary setting by Boivin and Ng (2006), Bai and Ng (2008), and Luciani (2014).”
Now-Casting and the Real-time Data Flow (2013, neutral): “An alternative approach consists in selecting the variables using statistical criteria as suggested in Boivin and Ng (2006); Bai and Ng (2008).”
Text as Data (2017, methodology): “…data, where the number of features tend to vastly exceed the observation count, regularized versions of PCA such as predictor thresholding (e.g., Bai and Ng 2008) and sparse PCA (Zou, Hastie, and Tibshirani 2006) help exclude the least informative features to improve predictive content of the…”
Markov-switching dynamic factor models in real time (2018, background): “…FACTOR MODELS IN REAL TIME Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela Documentos de Trabajo N.º 1205 2012 Electronic copy available at: http://ssrn.com/abstract=2002667 MARKOV-SWITCHING DYNAMIC FACTOR MODELS IN REAL TIME Electronic copy available at: http://ssrn.com/abstract=2002667”