| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12256 |
| DP12256 Economic Predictions with Big Data: The Illusion Of Sparsity | |
| Domenico Giannone; Michele Lenza; Giorgio Primiceri | |
| 发表日期 | 2017-08-31 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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 “spike-and-slab” prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse or dense model but on a wide set of models. A clearer pattern of sparsity can only emerge when models of very low dimension are strongly favored a priori. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp12256 |
| 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/541067 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Michele Lenza,Giorgio Primiceri. DP12256 Economic Predictions with Big Data: The Illusion Of Sparsity. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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