Forecasting large datasets with Bayesian reduced rank multivariate models
نویسندگان
چکیده
منابع مشابه
Eco 2009/31 Department of Economics Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the most promising existing alternatives, namely, factor models, large scale Bayesian VARs, and multivariate boosting. Speci cally, we focus on classical reduc...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2010
ISSN: 0883-7252
DOI: 10.1002/jae.1150