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Hierarchical shrinkage priors for dynamic regressions with many predictors

Citations

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Cited by:

  1. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  2. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Forecasting US real private residential fixed investment using a large number of predictors," Empirical Economics, Springer, vol. 51(4), pages 1557-1580, December.
  3. Plakandaras, Vasilios & Gupta, Rangan & Gogas, Periklis & Papadimitriou, Theophilos, 2015. "Forecasting the U.S. real house price index," Economic Modelling, Elsevier, vol. 45(C), pages 259-267.
  4. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897, Elsevier.
  5. Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2017. "Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data," Working Papers 201765, University of Pretoria, Department of Economics.
  6. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
  7. Prüser, Jan, 2017. "Forecasting US inflation using Markov dimension switching," Ruhr Economic Papers 710, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  8. repec:ipg:wpaper:2014-465 is not listed on IDEAS
  9. repec:eee:econom:v:212:y:2019:i:1:p:241-271 is not listed on IDEAS
  10. repec:eee:ecosta:v:11:y:2019:i:c:p:130-144 is not listed on IDEAS
  11. Michelle, Gilmartin, 2016. "A note on the identification and transmission of energy demand and supply shocks," MPRA Paper 76186, University Library of Munich, Germany.
  12. repec:ipg:wpaper:2014-473 is not listed on IDEAS
  13. Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
  14. Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
  15. Korobilis, Dimitris, 2014. "Data-based priors for vector autoregressions with drifting coefficients," SIRE Discussion Papers 2014-022, Scottish Institute for Research in Economics (SIRE).
  16. Korobilis, D, 2017. "Forecasting with many predictors using message passing algorithms," Essex Finance Centre Working Papers 19565, University of Essex, Essex Business School.
  17. Goodness C. Aye & Rangan Gupta, 2013. "Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012," Working Papers 201362, University of Pretoria, Department of Economics.
  18. Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
  19. Li, Jiahan & Chen, Weiye, 2014. "Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 996-1015.
  20. repec:wly:japmet:v:34:y:2019:i:2:p:285-314 is not listed on IDEAS
  21. Dimitris Korobilis, 2013. "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
  22. Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
  23. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  24. Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
  25. Ramis Khabibullin, 2019. "What measures of real economic activity slack are helpful for forecasting Russian inflation?," Bank of Russia Working Paper Series wps50, Bank of Russia.
  26. Sandra Stankiewicz, 2015. "Forecasting Euro Area Macroeconomic Variables with Bayesian Adaptive Elastic Net," Working Paper Series of the Department of Economics, University of Konstanz 2015-12, Department of Economics, University of Konstanz.
  27. repec:eee:ecmode:v:75:y:2018:i:c:p:364-376 is not listed on IDEAS
  28. Nombulelo Gumata, Alain Kabundi and Eliphas Ndou, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  29. Jiahan Li & Ilias Tsiakas & Wei Wang, 2015. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(2), pages 293-341.
  30. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1935-1955, August.
  31. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
  32. Naik, Prasad A., 2015. "Marketing Dynamics: A Primer on Estimation and Control," Foundations and Trends(R) in Marketing, now publishers, vol. 9(3), pages 175-266, December.
  33. Nicholas Apergis & Ghassen El Montasser & Emmanuel Owusu-Sekyere & Ahdi N. Ajmi & Rangan Gupta, 2014. "Dutch Disease Effect of Oil Rents on Agriculture Value Added in MENA Countries," Working Papers 201408, University of Pretoria, Department of Economics.
  34. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  35. repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9660-1 is not listed on IDEAS
  36. Matei, Florin, 2014. "An empirical examination of stock market integration in EMU," MPRA Paper 60717, University Library of Munich, Germany.
  37. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
  38. C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
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