Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55182
Authors: 
Carriero, Andrea
Kapetanios, George
Marcellino, Massimiliano
Year of Publication: 
2008
Series/Report no.: 
Working Paper // School of Economics and Finance, Queen Mary, University of London 635
Abstract: 
The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial advantages compared to standard autoregressive models. An empirical application focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding.
Subjects: 
shrinkage
forecasting
JEL: 
C13
C22
C53
Document Type: 
Working Paper

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