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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10003782984
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VARs, common factors and the empirical validation of equilibrium business cycle models
Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - In: Journal of econometrics 132 (2006) 1, pp. 257-279
Persistent link: https://www.econbiz.de/10003320265
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 164 (2011) 1, pp. 188-205
Persistent link: https://www.econbiz.de/10009270387
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VARs, common factors and the empirical validation of equilibrium business cycle models
Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - In: Journal of econometrics 132 (2006) 1, pp. 257-280
Persistent link: https://www.econbiz.de/10007259636
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Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10008135096
Cover Image
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-329
Persistent link: https://www.econbiz.de/10008898216
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 164 (2011) 1, pp. 188-206
Persistent link: https://www.econbiz.de/10009178474
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - In: Journal of econometrics 231 (2022) 2, pp. 500-519
Persistent link: https://www.econbiz.de/10013464909