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. ISSN 0304-4076

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Item Type: Article
Subject Areas: Economics
Date Deposited: 16 May 2016 13:25
Last Modified: 23 Dec 2019 14:33
URI: https://lbsresearch.london.edu/id/eprint/220
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