Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?
48 Pages Posted: 8 Jun 2016
Date Written: 2006
This paper considers Bayesian regression with normal and doubleexponential
Keywords: Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections
JEL Classification: C33, C13, C53, C11
Suggested Citation: Suggested Citation