Quotation Feldkircher, Martin, Huber, Florian, Kastner, Gregor. 2019. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? 10th European Seminar on Bayesian Econometrics (ESOBE 2019), St. Andrews, United Kingdom, 02.09.-03.09.


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Abstract

We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and the United States. It turns out that sophisticated dynamics through drifting coefficients are important in small data sets while simpler models tend to perform better in sizeable data sets. To combine best of both worlds, novel shrinkage priors help to mitigate the curse of dimensionality, resulting in competitive forecasts for all scenarios considered. Furthermore, we discuss dynamic model selection to improve upon the best performing individual model for each point in time.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Poster presented at an academic conference or symposium
Language English
Title Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Event 10th European Seminar on Bayesian Econometrics (ESOBE 2019)
Date 02.09.-03.09.
Location St. Andrews
Country United Kingdom
Year 2019
URL https://sites.google.com/view/esobe2019

Associations

Projects
High-dimensional statistical learning: New methods to advance economic and sustainability policies
People
Kastner, Gregor (Details)
External
Feldkircher, Martin (Oesterreichische Nationalbank, Austria)
Huber, Florian (University of Salzburg, Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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