Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
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Publication:299225
DOI10.1016/j.jeconom.2008.08.011zbMath1429.62659MaRDI QIDQ299225
Christine De Mol, Domenico Giannone, Lucrezia Reichlin
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.2008.08.011
ridge regression; principal components; Bayesian shrinkage; Bayesian VAR; large cross-sections; Lasso regression
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
91B84: Economic time series analysis
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Uses Software
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