Article révisé par les pairs
Titre:
  • Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
Auteur:De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia
Informations sur la publication:Journal of econometrics, 146, 2, page (318-328)
Statut de publication:Publié, 2008-10
Sujet CREF:Sciences sociales
Mots-clés:Bayesian shrinkage
Bayesian VAR
Large cross-sections
Lasso regression
Principal components
Ridge regression
Note générale:SCOPUS: ar.j
Langue:Anglais
Identificateurs:urn:issn:0304-4076
info:doi/10.1016/j.jeconom.2008.08.011
info:pii/S0304407608001103
info:scp/53649093540