Korobilis, D. (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29(1), (doi: 10.1016/j.ijforecast.2012.05.006)
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Publisher's URL: http://dx.doi.org/10.1016/j.ijforecast.2012.05.006
Abstract
This paper examines the properties of Bayes shrinkage estimators for dynamic regressions, that are based on hierarchical versions of the typical normal prior. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using a single hierarchical Bayes formulation. Using 129 U.S. macroeconomic quarterly variables for the period 1959-2010 I extensively evaluate the forecasting properties of Bayesian shrinkage in macroeconomic forecasting with many predictors. Results show that for particular data series hierarchical shrinkage dominates factor model forecasts and, hence, it serves as a valuable addition to existing methods for handling large dimensional data.
| Item Type: | Articles |
|---|---|
| Keywords: | Forecasting; shrinkage; factor model; variable selection; Bayesian lasso |
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Korompilis Magkas, Professor Dimitris |
| Authors: | Korobilis, D. |
| Subjects: | H Social Sciences > HA Statistics |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | International Journal of Forecasting |
| Publisher: | Elsevier |
| ISSN: | 0169-2070 |
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