arXiv 27 Nov 2021 · Statistics — Machine Learning
arXiv:2111.14000 · PDF · DOI · OpenAlex · Extracted main text
This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach generalises time-series regression trees on two dimensions. First, it allows to handle predictors that exhibit measurement error, non-stationary trends, seasonality and/or irregularities such as missing observations. Second, it gives a transparent way for using domain-specific theory to inform time-series regression trees. Empirically, ensembles of these factor-augmented trees provide a reliable approach for macro-finance problems. This article highlights it focussing on the lead-lag effect between equity volatility and the business cycle in the United States.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | M. Barigozzi and M. Luciani (2020) Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the em algorithm | 0.928 | 4 | 3 | 100% |
| 2 | F. Pellegrino (2023) Selecting time-series hyperparameters with the artificial jackknife | 0.874 | 9 | 2 | 100% |
| 3 | M. Bańbura and M. Modugno (2014) Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data | 0.843 | 3 | 3 | 100% |
| 4 | B. Bernanke, M. Gertler, and S. Gilchrist (1996) The financial accelerator and the flight to quality | 0.843 | 3 | 3 | 100% |
| 5 | L. Breiman (1996) Bagging predictors | 0.843 | 3 | 3 | 100% |
| 6 | M. Gertler and S. Gilchrist (1994) Monetary policy, business cycles, and the behavior of small manufacturing firms | 0.843 | 3 | 3 | 100% |
| 7 | S. A. Sharpe (1994) Financial market imperfections, firm leverage, and the cyclicality of employment | 0.843 | 3 | 3 | 100% |
| 8 | T. Hasenzagl, F. Pellegrino, L. Reichlin, and G. Ricco (2022) A model of the fed's view on inflation | 0.811 | 4 | 2 | 100% |
| 9 | T. Hasenzagl, F. Pellegrino, L. Reichlin, and G. Ricco (2022) Monitoring the economy in real time: Trends and gaps in real activity and prices | 0.811 | 4 | 2 | 100% |
| 10 | L. Breiman, J. Friedman, C. J. Stone, and R. A. Olshen (1984) Classification and regression trees | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 69 scored citations.