Forecasting with many predictors: an empirical comparison
Borradores de Economía; No. 643
Date published
2011-02-20Date of last update
2011-02-20Document language
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
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
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Keywords
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5660https://hdl.handle.net/20.500.12134/5660
https://doi.org/10.32468/be.643
https://ideas.repec.org/p/bdr/borrec/643.html
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