Riccardo Faini CEIS Webinars
Domenico Giannone (Amazon)
Economic Predictions With Big Data: The Illusion of Sparsity
Riccardo Faini CEIS Seminars
When
Friday, November 27, 2020 h. 16:00-17:00
Where
CEIS Tor Vergata – TEAMS Webinar
Make your registation here no later than Thursday and you will receive the link
Description
Domenico Giannone (Amazon)
joint with Michele Lenza and Giorgio Primiceri
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse model, but on a wide set of models that often include many predictors.
Contacts
Responsabile Scientifico
Marianna Brunetti e Furio Camillo Rosati
Organizzazione
Barbara Piazzi
06-72595601
piazzi@ceis.uniroma2.it