Groen, Jan J. J.; Kapetanios, George - 2008
data is weak, PLS regression outperforms both principal components and Bayesian regressions. Finally, we apply PLS …, principal components, and Bayesian regressions to a large panel of monthly U.S. macroeconomic data to forecast key variables …. Monte Carlo experiments confirm our theoretical results that PLS regression performs at least as well as principal …