文章基本信息

标题：Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?
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作者：Christine De Mol ; Domenico Giannone ; Lucrezia Reichlin 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：This paper considers Bayesian regression with normal and doubleexponential 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 the asymptotic properties of the Bayesian regression under Gaussian prior under the assumption that data are quasi collinear to establish a criterion for setting parameters in a large cross-section.
关键词：Bayesian VAR; ridge regression; Lasso regression; principal;components; large cross-sections