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- W2902146726 abstract "textabstractThe principal component regression (PCR) is often used to forecast macroeconomic variables when there are many predictors. In this letter, we argue that it makes sense to pre-whiten the predictors before including these in a PCR. With simulation experiments, we show that without such pre-whitening, spurious principal components can appear and that these can become spuriously significant in a PCR. With an illustration to annual inflation rates for five African countries, we show that non-spurious principal components can be genuinely relevant in empirical forecasting models." @default.
- W2902146726 created "2018-12-11" @default.
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- W2902146726 date "2018-02-03" @default.
- W2902146726 modified "2023-09-25" @default.
- W2902146726 title "Spurious principal components" @default.
- W2902146726 hasPublicationYear "2018" @default.
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