Generalized Shrinkage Methods for Forecasting Using Many Predictors

DOI10.1080/07350015.2012.715956MaRDI QIDQ6666888zbMATH OpenFDO

Authors James H. Stock, Mark W. Watson

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.715956

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited in

(4)

• Data-rich economic forecasting for actuarial applications
• Optimal vintage factor analysis with deflation varimax
• Real-time forecasting of Colombian consumer price inflation using high-dimensional methods
• Structural Discovery with Partial Ordering Information for Time-Dependent Data with Convergence Guarantees

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