University of Edinburgh
School of Mathematics and BioSS
Date: Friday 24th March, 15:10 Location: JCMB 6201
Speaker: Gary Koop, University of Strathclyde
Title: Bayesian Compressed Vector Autoregressions
Abstract: Macroeconomists are increasingly working with large Vector Autoregressions (VARs)
where the number of parameters vastly exceeds the number of observations. Existing
approaches either involve prior shrinkage or the use of factor methods. In this paper, we
develop an alternative based on ideas from the compressed regression literature. It
involves randomly compressing the explanatory variables prior to analysis. A huge
dimensional problem is thus turned into a much smaller, more computationally tractable
one. Bayesian model averaging can be done over various compressions, attaching greater
weight to compressions which forecast well. In a macroeconomic application involving up
to 129 variables, we find compressed VAR methods to forecast better than either factor
methods or large VAR methods involving prior shrinkage.
This seminar is a part of Maxwell Institute seminar series.
You may leave the list at any time by sending the command
SIGNOFF allstat
to [log in to unmask], leaving the subject line blank.
|