Hofmarcher, Paul, Crespo Cuaresma, Jesus, Grün, Bettina, Hornik, Kurt. 2015. Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors. Journal of Forecasting 34, 133-144.
BibTeX
Abstract
We compare the predictive ability of Bayesian methods which deal simultaneously with model uncertainty and correlated regressors in the framework of cross-country growth regressions. In particular, we assess methods with spike and slab priors combined with different prior specifications for the slope parameters in the slab. Our results indicate that moving away from Gaussian g-priors towards Bayesian ridge, LASSO or elastic net specifications has clear advantages for prediction when dealing with datasets of (potentially highly) correlated regressors, a pervasive characteristic of the data used hitherto in the econometric literature.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of Forecasting |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, INF-A, MAR-B, STRAT-B, VW-D, WH-B |
Language | English |
Title | Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors |
Volume | 34 |
Year | 2015 |
Page from | 133 |
Page to | 144 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1002/for.2328 |
Associations
- People
- Hofmarcher, Paul (Details)
- Crespo Cuaresma, Jesus (Details)
- Hornik, Kurt (Details)
- External
- Grün, Bettina (JKU Linz, Austria)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Department of Economics (Crespo Cuaresma) (Details)
- Research Institute for Computational Methods FI (Details)
- Research Institute for Human Capital and Development
FI
(Former organization)
- Competence Center for Sustainability Transformation and Responsibility WE (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1113 Mathematical statistics (Details)
- 5300 Economics (Details)