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Bayesian forecasting with highly correlated predictors

Korobilis, D (2013) 'Bayesian forecasting with highly correlated predictors.' Economics Letters, 118 (1). 148 - 150. ISSN 0165-1765

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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. © 2012 Elsevier B.V.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 23 Nov 2016 12:09
Last Modified: 07 Aug 2019 21:15

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