Bayesian forecasting with highly correlated predictors
AbstractThis paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that by acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.
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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2012_12.
Date of creation: Jul 2012
Date of revision:
Bayesian semiparametric selection; Dirichlet process prior; correlated predictors; clustered coefficients;
Other versions of this item:
- Korobilis, Dimitris, 2013. "Bayesian forecasting with highly correlated predictors," Economics Letters, Elsevier, vol. 118(1), pages 148-150.
- Dimitris Korobilis, 2012. "Bayesian Forecasting with Highly Correlated Predictors," Working Paper Series 67_12, The Rimini Centre for Economic Analysis.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-17 (All new papers)
- NEP-ECM-2012-11-17 (Econometrics)
- NEP-ETS-2012-11-17 (Econometric Time Series)
- NEP-FOR-2012-11-17 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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