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

DOI10.1016/j.jeconom.2008.08.011zbMath1429.62659OpenAlexW3121553976MaRDI 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 regressionprincipal componentsBayesian shrinkageBayesian VARlarge cross-sectionsLasso regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

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Uses Software

• PDCO

Cites Work

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• Unnamed Item
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• The Generalized Dynamic Factor Model
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