Heij, Christiaan; van Dijk, Dick; Groenen, Patrick J.F. - In: International Journal of Forecasting 24 (2008) 1, pp. 87-100
This article proposes an improved method for the construction of principal components in macroeconomic forecasting. The underlying idea is to maximize the amount of variance of the original predictor variables that is retained by the components in order to reduce the variance involved in...