Groen, Jan J.J.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
This paper revisits a number of data-rich prediction methods, like factor models, Bayesian ridge regression and … method: partial least squares regression. Under the latter, linear, orthogonal combinations of a large number of predictor …. We also argue that forecast combinations can be interpreted as a restricted form of partial least squares regression …