Machine Learning Time Series Regressions With an Application to Nowcasting-Reference-Cited by-同舟云学术

Machine Learning Time Series Regressions With an Application to Nowcasting

Published:2021-04-21 Issue: Volume: Page:1-23
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Babii Andrii¹,Ghysels Eric²³,Striaukas Jonas⁴

Affiliation:

1. Department of Economics, University of North Carolina–Chapel Hill, Chapel Hill, NC

2. Department of Economics and Kenan-Flagler Business School, University of North Carolina–Chapel Hill

3. CEPR, London, UK

4. LIDAM UC Louvain and Research Fellow of the Fonds de la Recherche Scientifique—FNRS, Brussels, Belgium

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1899933

Reference56 articles.

1. Aastveit, K. A., Fastbø, T. M., Granziera, E., Paulsen, K. S., and Torstensen, K. N. (2020), “Nowcasting Norwegian Household Consumption with Debit Card Transaction Data,” Discussion Paper, Norges Bank.

2. The Distributed Lag Between Capital Appropriations and Expenditures

3. Should Macroeconomic Forecasters Use Daily Financial Data and How?

4. Non-strong mixing autoregressive processes

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