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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 700
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study the asymptotic properties of the Bayesian regression under Gaussian prior under the assumption that data are quasi collinear to establish a criterion for setting parameters in a large cross-section.
Schlagwörter: 
Bayesian VAR
large cross-sections
Lasso regression
principal components
ridge regression
JEL: 
C11
C13
C33
C53
Dokumentart: 
Working Paper

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