Economic Predictions With Big Data : The Illusion of Sparsity

We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse model, but on a wide set of models that often include many predictors.

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Year of publication:	2021
Authors:	Giannone, Domenico ; Lenza, Michele ; Primiceri, Giorgio E.
Published in:	Econometrica. - The Econometric Society, ISSN 0012-9682, ZDB-ID 1477253-X. - Vol. 89.2021, 5, p. 2409-2437
Publisher:	The Econometric Society

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Type of publication:	Article
Language:	English
Other identifiers:	10.3982/ecta17842 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10012637172