Tag Archives: Forecasting

Combining and comparing models using Model Confidence Set

By Gabriel Vasconcelos In many cases, especially if you are dealing with forecasting models, it is natural to use a large set of models to forecast the same variable and then select the best model using some error measure. For … Continue reading

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New Publication: Real-time inflation forecasting with high-dimensional models: the case of Brazil

Check out our new publication on forecasting inflation using large datasets and statistical learning techniques. Real-time inflation forecasting with high-dimensional models: The case of Brazil International Journal of Forecasting (2017) Márcio Garcia, Marcelo C. Medeiros, Gabriel F. R. Vasconcelos Link

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