Borradores de Economia
Número:
643
Publicado:
Clasificación JEL:
C11, C15, C52, C53
Palabras clave:
Partial least squares, Principal components, Ridge regression.
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Mauricio Villamizar-Villegas, Oscar Mauricio Valencia-Arana, Andrés Felipe Prado, Nicolás Aya
Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are