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Bayesian measures of explained variance and pooling in multilevel (hierarchical) models

Gelman, Andrew; Pardoe, Iain - EconWPA - 2004

estimated separately. This pooling factor is related to the concept of shrinkage in simple hierarchical models. We illustrate …

Persistent link: https://www.econbiz.de/10005407962

On tuning parameter selection in model selection and model averaging : a Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16

to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …

Persistent link: https://www.econbiz.de/10012025275

Stochastic model specification search for time-varying parameter VARs

Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665

Persistent link: https://www.econbiz.de/10011592382

Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era

Lewis, Kurt F.; Whiteman, Charles H. - In: Journal of forecasting 34 (2015) 1, pp. 15-35

Persistent link: https://www.econbiz.de/10011305372

Variable selection in international diffusion models

Gelper, Sarah; Stremersch, Stefan - In: International journal of research in marketing : IJRM ; … 31 (2014) 4, pp. 356-367

Persistent link: https://www.econbiz.de/10011280172

House prices and interest rates : Bayesian evidence from Germany

Hanck, Christoph; Prüser, Jan - In: Applied economics 52 (2020) 28, pp. 3073-3089

Persistent link: https://www.econbiz.de/10012221482

Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank

Basturk, Nalan; Hoogerheide, Lennart; Dijk, Herman K. van - 2017

introduce a lasso type shrinkage prior combined with orthogonal normalization which restricts the range of the parameters in a … plausible way. This can be combined with other shrinkage, smoothness and data based priors using training samples or dummy …

Persistent link: https://www.econbiz.de/10011688509

Real-time inflation forecasting with high-dimensional models : the case of Brazil

Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: International journal of forecasting 33 (2017) 3, pp. 679-693

Persistent link: https://www.econbiz.de/10011746198

Macroeconomic forecasting for Australia using a large number of predictors

Jiang, Bin; Athanasopoulos, George; Hyndman, Rob J.; … - 2016

Persistent link: https://www.econbiz.de/10011781960

House prices and interest rates : Bayesian evidence from Germany

Hanck, Christoph; Prüser, Jan - 2016

This study uses a Bayesian VAR to demonstrate that the recent house price boom in Germany can be explained by falling interest rates and that higher interest rates are likely suciffient to stop the increase of German house prices. The latter suggests a potential drawback of the current monetary...

Persistent link: https://www.econbiz.de/10011494870