Bayesian forecasting with highly correlated predictors
| Data(s) |
21/01/2013
21/01/2013
2012
|
|---|---|
| Resumo |
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. |
| Identificador | |
| Publicador |
University of Glasgow |
| Relação |
SIRE DISCUSSION PAPER;SIRE-DP-2012-80 |
| Palavras-Chave | #Bayesian semiparametric selection #Dirichlet process prior #correlated predictors #clustered coefficients |
| Tipo |
Working Paper |
