# Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

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**Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?**," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.

*RePEc:eee:econom:v:146:y:2008:i:2:p:318-328*

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- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006.
"
**Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?**," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers. - De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006.
"
**Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?**," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.

## References listed on IDEAS

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## More about this item

### Keywords

Bayesian shrinkage Bayesian VAR Ridge regression Lasso regression Principal components Large cross-sections;### JEL classification:

**C33**- Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models**C13**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General**C53**- Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods**C11**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

### Statistics

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