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- W168209991 abstract "This paper evaluates a modication done on the DI framework of Stock andWatson (2002). The regressors used for PCA are rst evaluated for their predictivepower. As there are several techniques to create such subsets, ve are used of whichtwo are hard thresholding and three are soft thresholding methods. The 1, 6, 12and 24 month ahead point-forecasts are then compared to a 3 factor benchmarkwith factors constructed from the complete dataset. Results show that selectingrelevant predictors before applying principal component analysis yields improvedforecasts." @default.
- W168209991 created "2016-06-24" @default.
- W168209991 creator A5040256392 @default.
- W168209991 date "2013-07-11" @default.
- W168209991 modified "2023-09-27" @default.
- W168209991 title "Forecasting with Factor Models" @default.
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