| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1002/for.2328 |
| Last night a shrinkage saved my life: economic growth, model uncertainty and correlated regressors. | |
| Hofmarcher P; Crespo Cuaresma J; Gruen B; Hornik K | |
| 发表日期 | 2015 |
| 出处 | Journal of Forecasting 34 (2): 133-144 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We compare the predictive ability of Bayesian methods which deal simultaneously with model uncertainty and correlated regressors in the framework of cross-country growth regressions. In particular, we assess methods with 'spike and slab' priors combined with different prior specifications for the slope parameters in the slab. Our results indicate that moving away from Gaussan g-priors towards Bayesian ridge, LASSO or elastic net specifications has clear advantages for prediction when dealing with datasets of (potentially highly) correlated regressors, a pervasive characteristic of the data used hitherto in the econometric literature. |
| 主题 | World Population (POP) |
| 关键词 | model uncertainty prediction economic growth Bayesian methods correlated regressors |
| URL | http://pure.iiasa.ac.at/id/eprint/11499/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130395 |
| 推荐引用方式 GB/T 7714 | Hofmarcher P,Crespo Cuaresma J,Gruen B,et al. Last night a shrinkage saved my life: economic growth, model uncertainty and correlated regressors.. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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