Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - In: International Journal of Forecasting 31 (2015) 1, pp. 188-206
In this paper we explore the forecasting performances of methods based on a pre-selection of monthly indicators from large panels of time series. After a preliminary data reduction step based on different shrinkage techniques, we compare the accuracy of principal components forecasts with that...