In forecasting and regression analysis, it is often necessary to select predictors from a large feasible set. When the predictors have no natural ordering, an exhaustive evaluation of all possible combinations of the predictors can be computationally costly. This paper considers boosting as a methodology of selecting the predictors in factor-augmented autoregressions. As some of the predictors are being estimated, we propose a stopping rule for boosting to prevent the model from being overfitted with estimated predictors. We also consider two ways of handling lags of variables: a componentwise approach and a block-wise approach. The best forecasting method will necessarily depend on the data-generating process. Simulations show that for each data type there is one form of boosting that performs quite well. When applied to four key economic variables, some form of boosting is found to outperform the standard factor-augmented forecasts and is far superior to an autoregressive forecast.
