Forecasting economic time series using targeted predictors
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Publication:299223
DOI10.1016/j.jeconom.2008.08.010zbMath1429.62419OpenAlexW2000632882MaRDI QIDQ299223
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.010
Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Economic time series analysis (91B84)
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