Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/234096 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2542
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
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

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