| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5839 |
| DP5839 Mr Ricardo's Great Adventure: Estimating Fiscal Multipliers in a Truly Intertemporal Model | |
| Tamim Bayoumi; Silvia Sgherri | |
| 发表日期 | 2006-09-17 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper considers Bayesian regression with normal and double exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study the asymptotic properties of the Bayesian regression under Gaussian prior under the assumption that data are quasi collinear to establish a criterion for setting parameters in a large cross-section. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian var Ridge regressions Lasso regression Principal components Large cross-sections |
| URL | https://cepr.org/publications/dp5839 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534678 |
| 推荐引用方式 GB/T 7714 | Tamim Bayoumi,Silvia Sgherri. DP5839 Mr Ricardo's Great Adventure: Estimating Fiscal Multipliers in a Truly Intertemporal Model. 2006. |
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