This paper reviews various treatments of non-metric variables in Partial Least Squares (PLS) and Principal Component Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several typical data generating processes and...

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...

Nous présentons ici une extension de la méthode PLS, l'ACIMO-PLS, permettant de modéliser «globalement» un ensemble de tableaux de données mesurés sur les mêmes individus. L'optimisation du critère proposé revient à la résolution de PLS traditionnel, mais engendre des objets et aides...

We use deep partial least squares (DPLS) to estimate an asset pricing model for individual stock returns that exploits conditioning information in a flexible and dynamic way while attributing excess returns to a small set of statistical risk factors. The novel contribution is to resolve the...