Bayesian forecasting with highly correlated predictors

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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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
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

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