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

Reichlin, L, De Mol, C and Giannone, D (2008) Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? Journal of Econometrics, 146 (2). pp. 318-328.

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Item Type: Article
Subject Areas: Economics
Date Deposited: 16 May 2016 13:25
Last Modified: 02 Sep 2019 15:25
URI: http://lbsresearch.london.edu/id/eprint/220
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