Bayesian model averaging and principal component regression forecasts in a data rich environment
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DOI: 10.1016/j.ijforecast.2015.11.015
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Cited by:
- Guarin, Alexander & Lozano, Ignacio, 2017. "Credit funding and banking fragility: A forecasting model for emerging economies," Emerging Markets Review, Elsevier, vol. 32(C), pages 168-189.
- Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
- Steel, Mark F. J., 2017.
"Model Averaging and its Use in Economics,"
MPRA Paper
81568, University Library of Munich, Germany.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.
More about this item
Keywords
High-dimensional models; Factor model; Bayesian variable selection; Real time forecasting; Markov Chain Monte Carlo; Rolling window forecast; Out-of-sample forecast;Statistics
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