Groenen, Patrick; van Dijk, Dick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2005
Forecasting with many predictors is of interest, for instance, in macroeconomics and finance. This paper compares two methods for dealing with many predictors, that is, principal component regression (PCR) and principal covariate regression (PCovR). The forecast performance of these methods is...
