arXiv 9 Sep 2018 · Statistics — Computation · publishedInternational Economic Review (2022) · 41 citations (OpenAlex)
arXiv:1809.03031 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for TVP dynamic regression models in the presence of a large number of predictors. This strategy allows for assessing in individual time periods which predictors are relevant (or not) for forecasting the dependent variable. The new algorithm is evaluated numerically using synthetic data and its computational advantages are established. Using macroeconomic data for the US we find that regression models that combine time-varying parameters with the information in many predictors have the potential to improve forecasts of price inflation over a number of alternative forecasting models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | George, E. I. and R. E. McCulloch (1993) Variable Selection via Gibbs Sampling | 1.000 | 7 | 3 | 100% |
| 2 | Rocková, V. and K. McAlinn (2017) Dynamic Variable Selection with Spike-and-Slab Process Priors, Tech | 1.000 | 6 | 5 | 100% |
| 3 | Koop, G. and D. Korobilis (2012) Forecasting Inflation Using Dynamic Model Averaging self | 1.000 | 6 | 3 | 100% |
| 4 | Stock, J. H. and M. W. Watson (2007) Why Has U.S | 1.000 | 5 | 3 | 100% |
| 5 | Zou, H. and T. Hastie (2005) Regularization and Variable Selection via the Elastic Net | 0.811 | 4 | 2 | 100% |
| 6 | Breiman, L (1996) Bagging Predictors | 0.737 | 3 | 2 | 100% |
| 7 | Chan, J. and I. Jeliazkov (2009) Efficient simulation and integrated likelihood estimation in state space models | 0.737 | 3 | 2 | 100% |
| 8 | Sm'dl, V. and A. Quinn (2006) The Variational Bayes Method in Signal Processing | 0.644 | 4 | 1 | 100% |
| 9 | McCracken, M. and S. Ng (2020) FRED-QD: A Quarterly Database for Macroeconomic Research, Working Paper 26872, National Bureau of Economic Research | 0.644 | 3 | 2 | 67% |
| 10 | Belmonte, M. A., G. Koop, and D. Korobilis (2014) Hierarchical Shrinkage in Time-Varying Parameter Models | 0.644 | 2 | 2 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.