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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

Short-term inflation projections : a Bayesian vector autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - In: International journal of forecasting 30 (2014) 3, pp. 635-644

Persistent link: https://www.econbiz.de/10010514782

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2017

). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic …

Persistent link: https://www.econbiz.de/10011754400

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time …

Persistent link: https://www.econbiz.de/10011802148

Incorporating conjunctural analysis in structural models

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - In: The science and practice of monetary policy today : the …, (pp. 41-57). 2010

Persistent link: https://www.econbiz.de/10003920587

Nowcasting

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2010

Persistent link: https://www.econbiz.de/10003994026

Comparing alternative predictors based on large-panel factor models

D'Agostino, Antonello; Giannone, Domenico - 2007

Persistent link: https://www.econbiz.de/10003593201

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

Mol, Christine de (contributor); … - 2006

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...

Persistent link: https://www.econbiz.de/10003380561

Forecasting using a large number of predictors : is Bayesian regression a valid alternative to principal components?

Mol, Christine de; Giannone, Domenico; Reichlin, Lucrezia - 2006

Persistent link: https://www.econbiz.de/10003381781

Prior selection for vector autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2012

Persistent link: https://www.econbiz.de/10009502334