component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … nonlinear methods, and that using a combination of factor and other shrinkage methods often yields superior predictions. For … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …

-series data (cvlasso), and theory-driven ('rigorous') penalization for the lasso and square-root lasso for cross-section and panel …

variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates … relative to shrinkage alone. …

variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates … relative to shrinkage alone. …

assumptions than those required by existing approaches. Unlike existing shrinkage methods, our approach borrows the strength - but …