Korobilis, D (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18 (1). pp. 148-150. DOI https://doi.org/10.1016/j.econlet.2012.10.003
Korobilis, D (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18 (1). pp. 148-150. DOI https://doi.org/10.1016/j.econlet.2012.10.003
Korobilis, D (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18 (1). pp. 148-150. DOI https://doi.org/10.1016/j.econlet.2012.10.003
Abstract
This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that by acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Bayesian semiparametric selection; Dirichlet process prior; Correlated predictors; Clustered coefficients |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 23 Nov 2016 12:09 |
| Last Modified: | 06 Jan 2022 14:41 |
| URI: | http://repository.essex.ac.uk/id/eprint/17951 |