TY  - BOOK
AU  - De Mol,Christine
AU  - Giannone,Domenico
AU  - Reichlin,Lucrezia
TI  - Forecasting using a large number of predictors: is bayesian regression a valid alternative to principal components? 
T2  - Discussion paper. Series 1: Economic studies
SN  - 3865582079
U1  - 330.015195 21
PY  - 2006///
CY  - Frankfurt am Main
PB  - Deutsche Bundesbank
KW  - ANALISIS BAYESIANO
KW  - PREVISIONES ECONOMICAS
KW  - PRONOSTICOS ECONOMICOS
KW  - PREDICCIONES ECONOMICAS
N1  - Bibliografía: p. 17-19
N2  - 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
UR  - http://econstor.eu/bitstream/10419/19661/1/200632dkp.pdf
ER  -