High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms

This article 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 pr...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Data Set
Language: English
Place of publication: Taylor & Francis 09.12.2019
Data of publication: 2019-12-09
Discipline: Medicine
Bibliography: 10.1080/07350015.2019.1677472
10.6084/m9.figshare.9971264
Subjects:
Online Access: Fulltext
Database: DataCite (Open Access)
DataCite
Database information Databases - DBIS