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International Economics Commons

Open Access. Powered by Scholars. Published by Universities.®

2017

University of Tennessee, Knoxville

Management Sciences and Quantitative Methods

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Full-Text Articles in International Economics

Economic Forecasting With Many Predictors, Fanning Meng May 2017

Economic Forecasting With Many Predictors, Fanning Meng

Doctoral Dissertations

The dissertation is focused on the analysis of economic forecasting with a large number of predictors.

The first chapter develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed method is based on an averaging scheme applied to quantiles conditional on predictors selected by LASSO. The resulting forecasts outperform the historical average, and other existing models, by statistically and economically meaningful margins.

In the second chapter, we find that incorporating distributional and high-frequency information into a forecasting model can produce substantial accuracy gains. Distributional information is ...