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Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...