Forecasting Using Principal Components From a Large Number of Predictors
Top Cited Papers
- 1 December 2002
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 97 (460) , 1167-1179
- https://doi.org/10.1198/016214502388618960
Abstract
This article considers forecasting a single time series when there are many predictors (N) and time series observations (T). When the data follow an approximate factor model, the predictors can be ...Keywords
This publication has 14 references indexed in Scilit:
- Determining the Number of Factors in Approximate Factor ModelsEconometrica, 2002
- The Generalized Dynamic-Factor Model: Identification and EstimationThe Review of Economics and Statistics, 2000
- Prediction Intervals, Factor Analysis Models, and High-Dimensional Empirical Linear PredictionJournal of the American Statistical Association, 1999
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle DynamicsThe Review of Economic Studies, 1998
- Dynamic common factors in large cross-sectionsEmpirical Economics, 1996
- A Test for the Number of Factors in an Approximate Factor ModelThe Journal of Finance, 1993
- New Indexes of Coincident and Leading Economic IndicatorsNBER Macroeconomics Annual, 1989
- Risk and return in an equilibrium APTJournal of Financial Economics, 1988
- Performance measurement with the arbitrage pricing theoryJournal of Financial Economics, 1986
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset MarketsEconometrica, 1983