Empirical Bayes Forecasts of One Time Series Using Many Predictors
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- Thomas Knox & James H. Stock & Mark W. Watson, 2001. "Empirical Bayes Forecasts of One Time Series Using Many Predictors," NBER Technical Working Papers 0269, National Bureau of Economic Research, Inc.
References listed on IDEAS
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Cited by:
- Todd E. Clark, 2004.
"Can out-of-sample forecast comparisons help prevent overfitting?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
- Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Bernanke, Ben S. & Boivin, Jean, 2003.
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Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
- Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc.
- Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
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163, Federal Reserve Bank of New York.
- Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Division of Economics, School of Business, University of Leicester.
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More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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