The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Sep, 2021, Volume 89, Issue 5
https://doi.org/10.3982/ECTA17842
p. 2409-2437
Domenico Giannone, Michele Lenza, Giorgio E. 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.
This document contains some additional results and technical details not included in the main body of the paper. In particular, we present: i) more Monte Carlo simulation evidence; ii) the details of our out-of-sample forecasting exercise. This supplement is not self-contained, so readers are advised to read the main paper first.
This zip file contains only the replication codes (without data and posterior simulation results).
This zip file contains only one file, i.e. the main estimation function (the top of the file contains a thorough description).
This zip file contains the full replication material for the manuscript.
