Chapter 14
Variable Selection in Predictive Regressions
Serena Ng, Columbia University
Abstract
This chapter reviews methods for selecting empirically relevant predictors from a set of 
potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when 
is small relative to the sample size, 
, are reviewed. Then the large case is covered. Regularization and dimension reduction ...
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