High-dimensional macroeconomic forecasting using message passing algorithms

This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous predictors, as an equivalent high-dimensional static regression probl...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Place of publication: 23.04.2020
Data of publication: 2020-04-23
Online Access: Fulltext
Database: arXiv Economics
arXiv Statistics
Database information Databases - DBIS