Forecasting using a large number of predictors : is bayesian regression a valid alternative to principal components? /

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of pr...

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Bibliographic Details
Main Author: De Mol, Christine
Other Authors: Giannone, Domenico, Reichlin, Lucrezia, 1954-
Format: Book
Language:English
Published: Frankfurt am Main : Deutsche Bundesbank, 2006
Series:Discussion paper (Deutsche Bundesbank). Series 1: economic studies ; no. 32/2006
Subjects:
Online Access:http://econstor.eu/bitstream/10419/19661/1/200632dkp.pdf