Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

Journal of Econometrics

Volumn 146, Issue 2, 2008, Pages 318-328

  De Mol, Christine ^a   Giannone, Domenico ^a,b,c   Reichlin, Lucrezia ^c,d  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^b EUROPEAN CENTRAL BANK   (Germany)

^c CEPR   (United Kingdom)

^d LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Bayesian shrinkage; Bayesian VAR; Large cross sections; Lasso regression; Principal components; Ridge regression

Indexed keywords

BAYESIAN NETWORKS; PRINCIPAL COMPONENT ANALYSIS; SHRINKAGE; TIME SERIES ANALYSIS;

BAYESIAN SHRINKAGE; BAYESIAN VAR; LARGE CROSS-SECTIONS; LASSO REGRESSION; PRINCIPAL COMPONENTS; RIDGE REGRESSION;

FORECASTING;

EID: 53649093540     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.011     Document Type: Article

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