Forecasting Using Principal Components From a Large Number of Predictors

Volume: 97, Issue: 460, Pages: 1167 - 1179
Published: Dec 1, 2002
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 summarized by a small number of indexes, which we estimate using principal components. Feasible forecasts are shown to be asymptotically efficient in the sense that the difference between the feasible forecasts and the infeasible forecasts constructed...
Paper Details
Title
Forecasting Using Principal Components From a Large Number of Predictors
Published Date
Dec 1, 2002
Volume
97
Issue
460
Pages
1167 - 1179
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