Forecasting with a large number of predictors: Is Bayesian regression a valid alternative to principal components?

Journal

Journal of Econometrics

Subject

Economics

Publishing details

Journal of Econometrics 2008 Vol 146:2 p 318-328

Authors / Editors

Reichlin L; De Mol C; Giannone D

Biographies

Reichlin L

Publication Year

2008

Keywords

Bayesian shrinkage; Bayesian VAR; Ridge regression; Lasso regression; Principal components; Large cross-sections