• Medientyp: E-Artikel
  • Titel: Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors
  • Beteiligte: Hofmarcher, Paul; Crespo Cuaresma, Jesús; Grün, Bettina; Hornik, Kurt
  • Erschienen: Wiley, 2015
  • Erschienen in: Journal of Forecasting
  • Sprache: Englisch
  • DOI: 10.1002/for.2328
  • ISSN: 0277-6693; 1099-131X
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  • Beschreibung: <jats:p>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 <jats:italic>spike and slab</jats:italic> priors combined with different prior specifications for the slope parameters in the slab. Our results indicate that moving away from Gaussian <jats:italic>g</jats:italic>‐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. Copyright © 2015 John Wiley &amp; Sons, Ltd.</jats:p>