Revisiting useful approaches to data-rich macroeconomic forecasting

DOI10.1016/J.CSDA.2015.11.014zbMath1466.62081OpenAlexW1596234395MaRDI QIDQ1659116

George Kapetanios, Jan J. J. Groen

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/60769

zbMATH Keywords

partial least squaresprincipal componentsmacroeconomic forecasting(weak) factor modelsBayesian ridge regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (3)

A multi-country approach to forecasting output growth using PMIs ⋮ The three-pass regression filter: a new approach to forecasting using many predictors ⋮ Forecasting using random subspace methods

Uses Software

• PcGets

Cites Work

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• Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Computer automation of general-to-specific model selection procedures

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