This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a … - depending on the employed shrinkage method. …

This paper evaluates the ability of Bayesian shrinkage-based dynamic predictive regression models estimated with … (Gaussian, Lasso-LARS, Lasso-Landweber) in forecasting the U.S. real house price growth. We also compare results with forecasts …) MSE-F statistic, indicate that in general, the non-hierarchical Bayesian shrinkage estimators perform better than their …

, shrinkage and forecast combinations. …

This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We … build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation … to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …