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.
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- Gary Koop & Dimitris Korobilis, 2011.
"Forecasting Inflation Using Dynamic Model Averaging,"
1119, University of Strathclyde Business School, Department of Economics.
- 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.
- Koop, Gary & Korobilis, Dimitris, 2011. "Forecasting Inflation Using Dynamic Model Averaging," SIRE Discussion Papers 2011-40, Scottish Institute for Research in Economics (SIRE).
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- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, 03.
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- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," CORE Discussion Papers 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- 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.
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779, Board of Governors of the Federal Reserve System (U.S.).
- Wright, Jonathan H., 2008. "Bayesian Model Averaging and exchange rate forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 329-341, October.
- 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.
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