Forecasting with many predictors: an empirical comparison

Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are

Detalles Bibliográficos
Autor Principal: González-Molano, Eliana Rocío
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2011
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5660