Mining Big Data Using Parsimonious Factor and Shrinkage Methods

Abstract

A number of recent studies have focused on the usefulness of factor models in the context of prediction using “big data” (see e.g., Bai and Ng (2008), Dufour and Stevanovic (2010), Forni et al. (2000, 2005), Kim and Swanson (2014), Stock and Watson (2002b, 2006, 2012), and the references cited therein). We add to this literature by analyzing the predictive… (More)

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