The three-pass regression filter: a new approach to forecasting using many predictors

DOI10.1016/j.jeconom.2015.02.011zbMath1332.62360OpenAlexW3125950889WikidataQ56454407 ScholiaQ56454407MaRDI QIDQ494165

Seth Pruitt, Bryan Kelly

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.011

zbMATH Keywords

forecastpartial least squaresprincipal componentsfactor modelconstrained least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84)

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Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
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• Asymptotic Inference about Predictive Ability
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• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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