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

Citations

Cited by:

1. Marco Lombardi & Chiara Osbat & Bernd Schnatz, 2012. "Global commodity cycles and linkages: a FAVAR approach," Empirical Economics, Springer, vol. 43(2), pages 651-670, October.
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22. repec:hum:wpaper:sfb649dp2014-004 is not listed on IDEAS
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28. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary University of London, School of Economics and Finance.
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29. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
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52. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
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54. Eklund, Jana & Kapetanios, George, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, Cambridge University Press, vol. 203, pages 109-115, January.
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