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A Horse Race in High Dimensional Space

https://doi.org/10.2139/ssrn.3334458
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Large Bayesian vector auto regressions
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Forecast comparisons in unstable environments
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Dynamic factor model with infinite‐dimensional factor space: Forecasting
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The Elements of Statistical Learning: Data Mining, Inference, and Prediction
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A note on the validity of cross-validation for evaluating autoregressive time series prediction
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Forecasting economic time series using targeted predictors
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Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
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The general dynamic factor model: One-sided representation results
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Improved penalization for determining the number of factors in approximate factor models
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A well-conditioned estimator for large-dimensional covariance matrices
inferredcites →https://doi.org/10.1080/07350015.2015.1086655openalex-extracted
FRED-MD: A Monthly Database for Macroeconomic Research
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Regularization and Variable Selection Via the Elastic Net
inferredcites →https://doi.org/10.1111/j.1468-0084.2011.00642.xopenalex-extracted
Comparing Alternative Predictors Based on Large‐Panel Factor Models
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-extracted
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1162/003465300559037openalex-extracted
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.1198/016214502388618960openalex-extracted
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1198/016214504000002050openalex-extracted
The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
inferredcites →https://doi.org/10.1198/073500102317351921openalex-extracted
Macroeconomic Forecasting Using Diffusion Indexes
inferredcites →https://doi.org/10.18637/jss.v033.i01openalex-extracted
Regularization Paths for Generalized Linear Models via Coordinate Descent
inferredcites →https://doi.org/10.2139/ssrn.1856082openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2410214openalex-extracted
inferredcites →https://doi.org/10.1016/j.ijforecast.2014.03.016openalex-snapshot
Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models
inferredcites →https://doi.org/10.1016/j.jeconom.2005.07.020openalex-snapshot
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
inferredcites →https://doi.org/10.1016/j.jeconom.2013.08.033openalex-snapshot
Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
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