Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/234096
Authors: 
Giannone, Domenico
Lenza, Michele
Primiceri, Giorgio E.
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2542
Abstract: 
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics and ftnance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse model, but on a wide set of models that often include many predictors.
Subjects: 
Variable Selection
Shrinkage
Model uncertainty
Curse of dimensionality
JEL: 
C11
C52
C53
C55
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4542-4
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.