Riccardo Faini CEIS Webinars - Domenico Giannone
Economic Predictions With Big Data: The Illusion of Sparsity
Friday 27 November 2020 h. 16:00-17:00
CEIS Tor Vergata – TEAMS Webinar
Domenico Giannone (Amazon)
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 prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse model, but on a wide set of models that often include many predictors.
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Marianna Brunetti, Furio Camillo Rosati