dc.contributor.author | Mol, Christine de | de |
dc.contributor.author | Giannone, Domenico | de |
dc.contributor.author | Reichlin, Lucrezia | de |
dc.date.accessioned | 2010-10-27T02:53:00Z | de |
dc.date.accessioned | 2012-08-30T06:47:21Z | |
dc.date.available | 2012-08-30T06:47:21Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/19828 | |
dc.description.abstract | This paper considers Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study conditions for consistency of the forecast based on Bayesian regression as the cross-section and the sample size become large. This analysis serves as a guide to establish a criterion for setting the amount of shrinkage in a large cross-section. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Sozialwissenschaften, Soziologie | de |
dc.subject.ddc | Social sciences, sociology, anthropology | en |
dc.subject.ddc | Economics | en |
dc.subject.other | Bayesian shrinkage; Bayesian VAR; Ridge regression; Lasso regression; Principal components; Large cross-sections | |
dc.title | Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 146 | de |
dc.publisher.country | NLD | |
dc.source.issue | 2 | de |
dc.subject.classoz | Erhebungstechniken und Analysetechniken der Sozialwissenschaften | de |
dc.subject.classoz | Political Economy | en |
dc.subject.classoz | Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods | en |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-198289 | de |
dc.date.modified | 2010-10-27T10:32:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 318-328 | |
internal.identifier.classoz | 10105 | |
internal.identifier.classoz | 1090300 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 300 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2008.08.011 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |