Economic predictions with big data: The illusion of sparsity
Econometrica, 2021•Wiley Online Library
We compare sparse and dense representations of predictive models in macroeconomics,
microeconomics, and finance. To deal with a large number of possible predictors, we specify
a prior that allows for both variable selection and shrinkage. The posterior distribution does
not typically concentrate on a single sparse model, but on a wide set of models that often
include many predictors.
microeconomics, and finance. To deal with a large number of possible predictors, we specify
a prior that allows for both variable selection and shrinkage. The posterior distribution does
not typically concentrate on a single sparse model, but on a wide set of models that often
include many predictors.
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse model, but on a wide set of models that often include many predictors.
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