Forecasting Using Principal Components From a Large Number of Predictors
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Publication:4468514
DOI10.1198/016214502388618960zbMath1041.62081OpenAlexW2079563517MaRDI QIDQ4468514
Mark W. Watson, James H. Stock
Publication date: 10 June 2004
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214502388618960
Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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