Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
| Year of publication: |
2008
|
|---|---|
| Authors: | Giannone, Domenico ; Reichlin, Lucrezia ; De Mol, Christine |
| Institutions: | Solvay Brussels School of Economics and Management, Université Libre de Bruxelles |
| Subject: | Bayesian shrinkage | Bayesian VAR | Ridge regression | Lasso regression | Principal components | Large cross-section |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | Published in: Journal of Econometrics (2008) v.146,p.318-328 |
| Source: |
Persistent link: https://www.econbiz.de/10008574389