The three-pass regression filter: a new approach to forecasting using many predictors
From MaRDI portal
Publication:494165
DOI10.1016/j.jeconom.2015.02.011zbMath1332.62360WikidataQ56454407 ScholiaQ56454407MaRDI QIDQ494165
Publication date: 31 August 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.011
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62H25: Factor analysis and principal components; correspondence analysis
91B84: Economic time series analysis
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Uses Software
Cites Work
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