G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12256
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
URLhttps://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.
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