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

Reichlin, L and 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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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03044...
Item Type: Article
Subject Areas: Economics
DOI: 10.1016/j.jeconom.2008.08.011
Date Deposited: 16 May 2016 13:25
Last Modified: 08 Sep 2017 15:50
URI: http://lbsresearch.london.edu/id/eprint/220

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