Bayesian forecasting with highly correlated predictors
This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998.
"Benchmark priors for Bayesian model averaging,"
ESE Discussion Papers
26, Edinburgh School of Economics, University of Edinburgh.
- Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998. "Benchmark Priors for Bayesian Model Averaging," Econometrics 9804001, EconWPA, revised 31 Jul 1999.
- Carmen Fernández & Eduardo Ley & Mark F. J. Steel, . "Benchmark priors for Bayesian Model averaging," Working Papers 98-06, FEDEA.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998. "Benchmark priors for Bayesian model averaging," ESE Discussion Papers 66, Edinburgh School of Economics, University of Edinburgh.
- Stock, James H. & Watson, Mark W., 1999.
Journal of Monetary Economics,
Elsevier, vol. 44(2), pages 293-335, October.
- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, 03.
- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper Series 51_10, The Rimini Centre for Economic Analysis, revised Apr 2011.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," CORE Discussion Papers 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, Gary & Korobilis, Dimitris, 2010.
"Forecasting Inflation Using Dynamic Model Averaging,"
SIRE Discussion Papers
2010-113, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2012. "Forecasting Inflation Using Dynamic Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 867-886, 08.
- Gary Koop & Dimitris Korobilis, 2009. "Forecasting Inflation Using Dynamic Model Averaging," Working Paper Series 34_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Gary Koop & Dimitris Korobilis, 2011. "Forecasting Inflation Using Dynamic Model Averaging," Working Papers 1119, University of Strathclyde Business School, Department of Economics.
- Koop, Gary & Korobilis, Dimitris, 2011. "Forecasting Inflation Using Dynamic Model Averaging," SIRE Discussion Papers 2011-40, Scottish Institute for Research in Economics (SIRE).
- Dunson, David B. & Herring, Amy H. & Engel, Stephanie M., 2008. "Bayesian Selection and Clustering of Polymorphisms in Functionally Related Genes," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 534-546, June.
- K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
- George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
- Wright, Jonathan H., 2008.
"Bayesian Model Averaging and exchange rate forecasts,"
Journal of Econometrics,
Elsevier, vol. 146(2), pages 329-341, October.
- Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
- Gary Koop & Simon Potter, 2004. "Forecasting in dynamic factor models using Bayesian model averaging," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 550-565, December.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:148-150. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.