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: Figshare 01.01.2019
Data of publication: 2019-01-01
Discipline: Medicine
Online Access: available in Bonn?
Database: OpenAIRE
Database information Databases - DBIS