Bayesian forecasting with highly correlated predictors

This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.

MoreLess

Year of publication:	2013
Authors:	Korobilis, Dimitris
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 148-150
Publisher:	Elsevier
Subject:	Bayesian semiparametric selection \| Dirichlet process prior \| Correlated predictors \| Clustered coefficients

More details

Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603109