Publication: Sophisticated and small versus simple a...
Master data
Title: | Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions? |
Subtitle: | |
Abstract: | We assess the relationship between model size and complexity in the time‐varying parameter vector autoregression (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 the 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. |
Keywords: | statistics,probability and uncertainty, modeling and simulation, economics and econometrics, density predictions, dynamic model selection, global–local shrinkage priors, hierarchical modeling, stochastic volatility |
Publication type: | Article in journal (Authorship) |
Publication date: | 11.03.2024 (Online) |
Published by: |
Journal of Forecasting
Journal of Forecasting
(
John Wiley & Sons. Ltd.;
)
to publication |
Title of the series: | - |
Volume number: | - |
Issue: | - |
First publication: | Yes |
Version: | - |
Page: | - |
Versionen
Keine Version vorhanden |
Publication date: | 11.03.2024 |
ISBN (e-book): | - |
eISSN: | 1099-131X |
DOI: | http://dx.doi.org/10.1002/for.3121 |
Homepage: | https://onlinelibrary.wiley.com/doi/10.1002/for.3121 |
Open access |
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Authors
Martin Feldkircher (external) |
Luis Bastian Gruber (internal) |
Florian Huber (external) |
Gregor Kastner (internal) |
Assignment
Organisation | Address | ||
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Fakultät für Technische Wissenschaften
Institut für Statistik
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AT - 9020 Klagenfurt am Wörthersee |
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Subject areas | |
Research Cluster | No research Research Cluster selected |
Citation index |
Information about the citation index: Master Journal List
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Peer reviewed |
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Publication focus |
Classification raster of the assigned organisational units:
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working groups | No working group selected |
Cooperations
Organisation | Address | ||
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Paris-Lodron-Universität Salzburg
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AT - 5020 Salzburg |
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Diplomatische Akademie Wien
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AT - 1040 Wien |
Research activities
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Publications: | No related publications |
Events: | No related events |
Lectures: | No related lectures |