Groenen, Patrick; van Dijk, Dick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
This paper is concerned with time series forecasting in the presence of a large number of predictors. The results are of interest, for instance, in macroeconomic and financial forecasting where often many potential predictor variables are available. Most of the current forecast methods with many...
