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

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Year of publication:	2012
Authors:	Korobilis, Dimitris
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Bayes-Statistik \| Bayesian inference \| Korrelation \| Correlation \| Theorie \| Theory \| Frühindikator \| Leading indicator

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