The three-pass regression filter : a new approach to forecasting using many predictors
Year of publication: |
2015
|
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Authors: | Kelly, Bryan T. ; Pruitt, Seth |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 186.2015, 2, p. 294-316
|
Subject: | Forecast | Factor model | Principal components | Constrained least squares | Partial least squares | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Kleinste-Quadrate-Methode | Least squares method | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Partielle kleinste Quadrate |
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