The three-pass regression filter: A new approach to forecasting using many predictors
三遍回归滤波：利用大量预测变量进行预测的新方法
We forecast a single time series using many predictor variables with a new estimator called the three-pass regression filter (3PRF). It is calculated in closed form and conveniently represented as a set of ordinary least squares regressions. 3PRF forecasts are consistent for the infeasible best forecast when both the time dimension and cross section dimension become large. This requires specifying only the number of relevant factors driving the forecast target, regardless of…