Forecast comparison of principal component regression and principal covariate regression

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3612-3625

  Heij, Christiaan ^a   Groenen, Patrick J F ^a   van Dijk, Dick ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Factor model; Macroeconomic forecasting; Principal components; Principal covariates; Regression model

Indexed keywords

COMPUTER SIMULATION; DATA REDUCTION; ECONOMICS; FORECASTING; PRINCIPAL COMPONENT ANALYSIS;

FACTOR MODELS; MACROECONOMIC FORECASTING; PRINCIPAL COMPONENTS; PRINCIPAL COVARIATES; REGRESSION MODEL;

REGRESSION ANALYSIS;

EID: 33847392486     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.10.019     Document Type: Article

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