Weiye Chen

University of Notre Dame

153 Hurley Hall

Notre Dame, IN 46556-5646

United States

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Scholarly Papers (1)

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Forecasting Macroeconomic Time Series: LASSO-Based Approaches and Their Forecast Combinations with Dynamic Factor Models

Number of pages: 43 Posted: 19 Mar 2014
Jiahan Li and Weiye Chen
University of Notre Dame and University of Notre Dame
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Abstract:

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High-dimensional time series; Model selection; Dynamic factor model; Combining forecasts