Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

48 Pages Posted: 8 Jun 2016

See all articles by Christine De Mol

Christine De Mol

Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York; Centre for Economic Policy Research (CEPR)

Lucrezia Reichlin

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

Multiple version iconThere are 3 versions of this paper

Date Written: 2006

Abstract

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

De Mol, Christine and Giannone, Domenico and Reichlin, Lucrezia, Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components? (2006). Bundesbank Series 1 Discussion Paper No. 2006,32. Available at SSRN: https://ssrn.com/abstract=2785259

Christine De Mol (Contact Author)

Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Lucrezia Reichlin

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium
+32 2 650 4221 (Phone)
+32 2 650 4475 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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