Forecasting with many predictors: an empirical comparison

Borradores de Economia
Number: 
643
Published: 
Classification JEL: 
C11, C15, C52, C53
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
Download document

The most recent

The Economic Development of Colombia from the End of the Thousand Days' War to the Great Depression
Juliana Jaramillo-Echeverri, María Teresa Ramírez-Giraldo
Experimenting with Large Language Models for Inflation Forecasting in Colombia
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Juan J. Ospina-Tejeiro, Edgar Caicedo-García
Evaluating Unemployment Insurance in a Developing Economy: Evidence from Colombia
Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson

Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are