Forecasting economic time series using targeted predictors

Journal of Econometrics

Volumn 146, Issue 2, 2008, Pages 304-317

  Bai, Jushan ^a,b   Ng, Serena ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Tsinghua University   (China)

^c Columbia University ^*  (United States)

Author keywords

Diffusion index; Factor models; Hard thresholding; LARS; LASSO

Indexed keywords

FORECASTING; PRINCIPAL COMPONENT ANALYSIS; TIME SERIES ANALYSIS;

DIFFUSION INDEX; FACTOR MODELS; HARD THRESHOLDING; LARS; LASSO;

ELECTRIC LOAD FORECASTING;

EID: 53649085867     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.010     Document Type: Article

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