Bayesian Dynamic Tensor Regression

Monica Billio, Roberto Casarin, Sylvia Kaufmann and Matteo Iacopini ()

No 2018:13, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: Multidimensional arrays (i.e. tensors) of data are becoming increasingly available and call for suitable econometric tools. We propose a new dynamic linear regression model for tensor-valued response variables and covariates that encompasses some well-known multivariate models such as SUR, VAR, VECM, panel VAR and matrix regression models as special cases. For dealing with the over-parametrization and over-fitting issues due to the curse of dimensionality, we exploit a suitable parametrization based on the parallel factor (PARAFAC) decomposition which enables to achieve both parameter parsimony and to incorporate sparsity effects. Our contribution is twofold: first, we provide an extension of multivariate econometric models to account for both tensor-variate response and covariates; second, we show the effectiveness of proposed methodology in defining an autoregressive process for time-varying real economic networks. Inference is carried out in the Bayesian framework combined with Monte Carlo Markov Chain (MCMC). We show the efficiency of the MCMC procedure on simulated datasets, with different size of the response and independent variables, proving computational efficiency even with high-dimensions of the parameter space. Finally, we apply the model for studying the temporal evolution of real economic networks.

Keywords: Tensor calculus; tensor decomposition; Bayesian statistics; hierarchical prior; networks; autoregessive model; time series; international trade. (search for similar items in EconPapers)
JEL-codes: C13 C33 C51 C53 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2018
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Journal Article: Bayesian Dynamic Tensor Regression (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2018:13

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