Economic Predictions With Big Data: The Illusion of Sparsity Article Swipe
Related Concepts
Econometrics
Shrinkage
Model selection
Data set
Set (abstract data type)
Economics
Selection (genetic algorithm)
Illusion
Variable (mathematics)
Computer science
Economic model
Mathematics
Artificial intelligence
Machine learning
Microeconomics
Biology
Neuroscience
Programming language
Mathematical analysis
Domenico Giannone
,
Michèle Lenza
,
Giorgio E. Primiceri
·
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.3982/ecta17842
· OA: W3123265401
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.3982/ecta17842
· OA: W3123265401
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. 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.
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