Tag Archives: Forecasting

Formal ways to compare forecasting models: Rolling windows

By Gabriel Vasconcelos Overview When working with time-series forecasting we often have to choose between a few potential models and the best way is to test each model in pseudo-out-of-sample estimations. In other words, we simulate a forecasting situation where … Continue reading

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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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