Economic Predictions With Big Data: The Illusion of Sparsity

DOI10.3982/ECTA17842MaRDI QIDQ6100262zbMATH OpenOpenAlexFDO

Authors Domenico Giannone, Michele Lenza, Giorgio E. Primiceri

Publication date 12 May 2023

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta17842

zbMATH Keywords

variable selectionshrinkagemodel uncertaintyhigh dimensionaldata

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(25)

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• Forward-selected panel data approach for program evaluation
• Ridge Regression Under Dense Factor Augmented Models
• An Algebraic Estimator for Large Spectral Density Matrices
• scientific article; zbMATH DE number 5258476 (Why is no real title available?)
• FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
• The deluge of spurious correlations in big data
• Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
• Bridging factor and sparse models
• BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
• A penalized two-pass regression to predict stock returns with time-varying risk premia
• On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates
• Bayesian reconciliation of return predictability
• Combining large numbers of density predictions with Bayesian predictive synthesis
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• Higher-Order Expansions and Inference for Panel Data Models
• Structural inference in sparse high-dimensional vector autoregressions
• Global robust Bayesian analysis in large models
• The illusion of the illusion of sparsity: an exercise in prior sensitivity
• Testing for sparse idiosyncratic components in factor-augmented regression models
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• Most powerful test against a sequence of high dimensional local alternatives

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