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Riccardo Faini CEIS Seminars

Economic Predictions With Big Data: The Illusion of Sparsity
November, 27th 2020 (16:00-17:00)
TEAMS Webinar – Registration required

Domenico Giannone (Amazon)

Riccardo Faini CEIS Webinars 

Registration form - no later than Thursday

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.

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