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...
|Main Author:||Korobilis, Dimitris|
|Place of publication:||
|Data of publication:||2019-01-01|
|Online Access:||available in Bonn?|
Database information Databases - DBIS