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 -