The three-pass regression filter: a new approach to forecasting using many predictors

DOI10.1016/j.jeconom.2015.02.011zbMath1332.62360WikidataQ56454407 ScholiaQ56454407MaRDI QIDQ494165

Bryan Kelly, Seth Pruitt

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.011

zbMATH Keywords

forecast; partial least squares; principal components; factor model; constrained least squares

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

91B84: Economic time series analysis

Uses Software

• ElemStatLearn

Cites Work

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