High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms

This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility, and exogenous predictors, as an equivalent high-dimensional static regression pr...

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Vydané v:	Journal of business & economic statistics Ročník 39; číslo 2; s. 493 - 504
Hlavný autor:	Korobilis, Dimitris
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Alexandria Taylor & Francis 20.03.2021 Taylor & Francis Ltd
Predmet:	Bayesian shrinkage Belief propagation Factor graph High-dimensional inference Time-varying parameter model
ISSN:	0735-0015, 1537-2707
On-line prístup:	Získať plný text
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