Forecast comparison of principal component regression and principal covariate regression

DOI10.1016/j.csda.2006.10.019zbMath1161.62370MaRDI QIDQ1019994

Patrick J. F. Groenen, Dick van Dijk, Christiaan Heij

Publication date: 29 May 2009

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

Full work available at URL: https://repub.eur.nl/pub/6918/ei200528.pdf

zbMATH Keywords

principal components; factor model; regression model; macroeconomic forecasting; principal covariates

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

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Cites Work

• Are more data always better for factor analysis?
• Forecast comparison of principal component regression and principal covariate regression
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models