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

Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03044...

DOI: https://doi.org/10.1016/j.jeconom.2008.08.011

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Item Type:	Article
Subject Areas:	Economics
Date Deposited:	16 May 2016 13:25
Last Modified:	30 Dec 2024 02:24
URI:	https://lbsresearch.london.edu/id/eprint/220

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