Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?

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

zbMATH Keywords

ridge regression; principal components; Bayesian shrinkage; Bayesian VAR; large cross-sections; Lasso regression

Mathematics Subject Classification ID

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

• PDCO

Cites Work

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