Korobilis, Dimitris - In: International Journal of Forecasting 29 (2013) 1, pp. 43-59
This paper examines the properties of Bayes shrinkage estimators for dynamic regressions that are based on hierarchical … versions of the typical normal prior. Various popular penalized least squares estimators for shrinkage and selection in … for the period 1959–2010, I extensively evaluate the forecasting properties of Bayesian shrinkage in macroeconomic …