Forecasting With Many Predictors. An Empirical Comparison
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- Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
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More about this item
Keywords
Partial least squares; Principal components; Ridge regression.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-03-05 (Central Banking)
- NEP-FOR-2011-03-05 (Forecasting)
- NEP-MAC-2011-03-05 (Macroeconomics)
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