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Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37181
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Scharnagl, Michael | | en_US |
| dc.contributor.author | | Schumacher, Christian | | en_US |
| dc.date.accessioned | | 2010-08-11T09:02:20Z | | - |
| dc.date.available | | 2010-08-11T09:02:20Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37181 | | - |
| dc.description.abstract | | This 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.iso | | eng | | en_US |
| dc.publisher | | Verein für Socialpolitik Frankfurt a. M. | | en_US |
| dc.relation.ispartofseries | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Forecasting Methods A11-V2 | | en_US |
| dc.subject.jel | | E31 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.jel | | C11 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Finding good predictors for inflation by shotgun stochastic search | | en_US |
| dc.type | | Conference Paper | | en_US |
| dc.identifier.ppn | | 655517898 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
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