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Forecasting economic time series using targeted predictors · Study

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ArticleForecasting economic time series using targeted predictors

Jushan Bai2008

Article2008

Forecasting economic time series using targeted predictors

Jushan Bai · Serena Ng

704 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical Methods and Applications

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References

1982Trends and random walks in macroeconmic time series 2002Forecasting Using Principal Components From a Large Number of Predictors 1988Trends and random walks in macroeconomic time series 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1999Forecasting inflation 2005The Generalized Dynamic Factor Model 2006The empirical risk–return relation: A factor analysis approach☆

Cited by

2013Forecasting Stock Returns 2016Systemic risk and the macroeconomy: An empirical evaluation 2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?2013Now-Casting and the Real-Time Data Flow 2013Forecasting Inflation 2015The three-pass regression filter: A new approach to forecasting using many predictors 2020Bond Risk Premiums with Machine Learning

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Details

Year2008

Typearticle

Published2008-08-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations704

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2008.08.010

openalex_workW2000632882

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2019Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods