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...
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 |
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