Forecasting Using Principal Components from a Large Number of Predictors.

Stock, J. H., & Watson, M. W. (2002). Forecasting Using Principal Components from a Large Number of Predictors. Journal of the American Statistical Association, 1167-1179.

Type

Journal article

Intellectual base

Primary research

Year

2002

DOI

10.1198/016214502388618960

Link

https://doi.org/10.1198/016214502388618960

Cited from

statistics_experimental_design

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Cross-Dimensional Leakage
  • Macroeconometrics: a common shock (oil prices, monetary policy) contaminates apparent cross-sectoral or cross-country relations; factor models partition out the common component.

    This sourceDevelops dynamic-factor methods that partition out a common component (common shock) from many economic series via principal components.

Verification

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Registry ID ref:e86cc6d23c12 · see in the full table