Forecasting national activity using lots of international predictors: An application to New Zealand

Regularization and Variable Selection Via the Elastic Net

Hui Zou, Trevor Hastie · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2005 · 21K citations · Full text

Computing, Computer Science, Data Science +15

Least angle regression

Bradley Efron, Trevor Hastie, Iain M. Johnstone et al. · The Annals of Statistics · 2004 · 9.5K citations · Full text

Computing, Biostatistics, Computer Science +13

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3.1K citations

Computing, Data Science, Econometrics +12

Macroeconomic Forecasting Using Diffusion Indexes

James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics · 2002 · 2.6K citations

Business, Economics, Forecasting +13

Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

Ben Bernanke, Jean Boivin, Piotr Eliasz · The Quarterly Journal of Economics · 2005 · 1.8K citations

Social Sciences, Economics, Econometrics +13