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Discussion Paper
The Chen-Tindall system and the lasso operator: improving automatic model performance
Using U.S. monthly macroeconomic data, the automatic model system presented in Chen and Tindall [2016] outperforms the lasso automatic system, but the lasso is improved where Bayesian model averaging is employed to combine its forecasts with those from autoregressive schemes. The best performance is obtained using Bayesian model averaging to combine the Chen?Tindall system, the lasso, and autoregressive schemes. Performance is virtually the same using this combined approach where the elastic-net operator is substituted for the lasso. Similar overall outcomes are found for France and Germany ...