Generalized shrinkage methods for forecasting using many predictors

Journal of Business and Economic Statistics

Volumn 30, Issue 4, 2012, Pages 481-493

  Stock, James H ^a   Watson, Mark W ^b  

^a HARVARD UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

Dynamic factor models; Empirical bayes; High dimensional model

Indexed keywords

EID: 84870482363     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2012.715956     Document Type: Article

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