We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Panel data nowcasting: The case of price–earnings ratios.
- Authors
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, Jonas
- Abstract
The paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the 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 which can take advantage of the mixed‐frequency time series panel data structures. Our empirical results show the superior performance of our machine learning panel data regression models over analysts' predictions, forecast combinations, firm‐specific time series regression models, and standard machine learning methods.
- Subjects
PANEL analysis; PRICE-earnings ratio; EARNINGS forecasting; CORPORATE profits; TIME series analysis; REGRESSION analysis; EARNINGS announcements; FINANCIAL ratios
- Publication
Journal of Applied Econometrics, 2024, Vol 39, Issue 2, p292
- ISSN
0883-7252
- Publication type
Article
- DOI
10.1002/jae.3028