Predicting Belgium’s GDP using targeted bridge models
This paper investigates the usefulness, within the frameworks of the standard bridge model and the ‘bridging with factors’ approach, of a predictor selection procedure that builds on the elastic net algorithm. A pseudo-real time forecasting exercise is performed, in which estimates for Belgium’s quarterly GDP are generated using a monthly dataset of 93 potential predictors. While the simulation results indicate that specifying forecasting models using this procedure can lead to a slight improvement in terms of predictive accuracy over shorter horizons, the forecasting errors made by these ‘tar... Mehr ...
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Dokumenttyp: | doc-type:workingPaper |
Erscheinungsdatum: | 2016 |
Verlag/Hrsg.: |
Brussels: National Bank of Belgium
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Schlagwörter: | ddc:330 / C22 / E37 / bridge models / nowcasting / variable selection |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-26606083 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10419/144502 |