Bayesian forecasting with highly correlated predictors

Dimitris Korobilis

Economics Letters, 2013, vol. 118, issue 1, 148-150

Abstract: This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.

Keywords: Bayesian semiparametric selection; Dirichlet process prior; Correlated predictors; Clustered coefficients (search for similar items in EconPapers)
JEL-codes: C11 C14 C32 C52 C53 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Related works:
Working Paper: Bayesian forecasting with highly correlated predictors (2012)
Working Paper: Bayesian forecasting with highly correlated predictors (2012)
Working Paper: Bayesian Forecasting with Highly Correlated Predictors (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:148-150

DOI: 10.1016/j.econlet.2012.10.003

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