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dc.contributor.authorScharnagl, Michaelen_US
dc.contributor.authorSchumacher, Christianen_US
dc.date.accessioned2010-08-11T09:02:20Z-
dc.date.available2010-08-11T09:02:20Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37181-
dc.description.abstractThis paper evaluates a novel sampling algorithm, called shotgun stochastic search (S³), for Bayesian model averaging in the context of finding predictors for inflation when the set of potential predictors is large. This is a relevant case in the forecasting literature, where often hundreds of predictors are compared with autoregressive distributed lag models for inflation. With such a large model space, standard Bayesian approaches like MCMC model composition (MC³) tend to converge slowly. On the other hand, S³ systematically searches in the neighborhood of good models and concentrates on regions of high posterior probability in the model space. We carry out a Monte Carlo simulations to compare the computational efficiency of S³ to MC³, based on standard data generating processes from the literature. When many potential predictors are available, S³ outperforms MC³. In an empirical exercise, we apply the two algorithms to find predictors for US inflation from a set of about one hundred indicators and their lags. S³ absorbs posterior mass much quicker than MC³ and makes Bayesian estimation of the standard inflation equations with many predictors computationally feasible.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Forecasting Methods A11-V2en_US
dc.subject.jelE31en_US
dc.subject.jelC52en_US
dc.subject.jelC11en_US
dc.subject.ddc330en_US
dc.titleFinding good predictors for inflation by shotgun stochastic searchen_US
dc.typeConference Paperen_US
dc.identifier.ppn655517898-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

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