Korobilis, D. (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18(1), pp. 148-150. (doi: 10.1016/j.econlet.2012.10.003)
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Abstract
This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that by acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.
| Item Type: | Articles |
|---|---|
| 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: | Economics Letters |
| Publisher: | Elsevier |
| ISSN: | 0165-1765 |
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