Publicatie
NBB Working Paper, 2016, 290: Predicting Belgium's GDP using targeted bridge models
Oorspronkelijke titel: Predicting Belgium's GDP using targeted bridge models
Bron: nbb.be
01-01-2018
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…
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