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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- 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).
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