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1020期 9月24日:Macroeconomic Forecasting with Large Bayesian VARs: Global-local priors and the Illusion of Sparsity”(侯成瀚,副教授,湖南大学)

时间:2019-09-16

【主题】Macroeconomic Forecasting with Large Bayesian VARs: Global-local priors and the Illusion of Sparsity”

【报告人】侯成瀚 (副教授,湖南大学)

【时间】9月24日(星期二) 15:30-17:00

【地点】学院楼701室

【语言】英文

【摘要】A class of global-local hierarchical shrinkage priors for estimating large Bayesian vector autoregressions (BVARs) has recently been proposed. We question whether three such priors: Dirichlet-Laplace, Horseshoe and Normal-Gamma, can systematically improve upon the forecast accuracy of two commonly used benchmarks: hierarchical Minnesota prior and stochastic search variable selection prior (SSVS), when predicting key macroeconomic variables. Using small and large data sets, both point and density forecasts suggest that the answer is no. Instead, our results indicate that a hierarchical Minnesota prior remains a solid practical choice when forecasting macroeconomic variables. In light of existing optimality results, a possible explanation for our finding is that macroeconomic data is not sparse, but instead dense.

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