Quotation 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.


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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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Publication's profile

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)
Institute for Macroeconomics IN (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)
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