Empirical Bayes Forecasts of One Time Series Using Many Predictors
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We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes
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美国国家经济研究局创建时间：
2001-03-01
