Gateway to Think Tanks
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。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。