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• W3048078002 abstract "This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the empirical problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled at different frequencies, we focus on the sparse-group LASSO regularization. This type of regularization can take advantage of the mixed frequency time series panel data structures and we find that it empirically outperforms the unstructured machine learning methods. We obtain oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and economic data exhibit heavier than Gaussian tails. To that end, we leverage on a novel Fuk-Nagaev concentration inequality for panel data consisting of heavy-tailed $tau$-mixing processes which may be of independent interest in other high-dimensional panel data settings." @default.
• W3048078002 created "2020-08-13" @default.
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• W3048078002 date "2020-08-08" @default.
• W3048078002 modified "2023-09-27" @default.
• W3048078002 title "Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios" @default.
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