Economic Predictions With Big Data: The Illusion of Sparsity

Cited In (25)

Bayesian estimation of cluster covariance matrices of unknown form
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Are Latent Factor Regression and Sparse Regression Adequate?
Forward-selected panel data approach for program evaluation
Ridge Regression Under Dense Factor Augmented Models
An Algebraic Estimator for Large Spectral Density Matrices
Title not available (Why is that?)
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
Higher-Order Expansions and Inference for Panel Data Models
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
Global robust Bayesian analysis in large models
Testing for sparse idiosyncratic components in factor-augmented regression models
Structural inference in sparse high-dimensional vector autoregressions
Modelling mortality: A bayesian factor-augmented var (favar) approach
The illusion of the illusion of sparsity: an exercise in prior sensitivity
Most powerful test against a sequence of high dimensional local alternatives
A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models

This page was built for publication: Economic Predictions With Big Data: The Illusion of Sparsity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6100262)