Bayesian MIDAS penalized regressions: estimation, selection, and prediction

DOI10.1016/j.jeconom.2020.07.022zbMath1471.62422arXiv1903.08025OpenAlexW2921538327MaRDI QIDQ2024454

Anna Simoni, Matteo Mogliani

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08025

zbMATH Keywords

forecastingposterior contractionpredictive distributionBayesian MIDAS regressionspenalized regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items (2)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ The Bayesian nested Lasso for mixed frequency regression models

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