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. ► Exam...

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Bibliographic details
Volume: 118
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: LAUSANNE Elsevier B.V 01.01.2013
ELSEVIER SCIENCE SA
published in: Economics letters Vol. 118; no. 1; pp. 148 - 150
ORCID: 0000-0001-9146-3008
Data of publication: January 2013
ISSN: 0165-1765
1873-7374
EISSN: 1873-7374
Discipline: Economics
Subjects:
C53
C52
C11
C32
C14
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index - 2013
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