计量经济学
收缩率
集合(抽象数据类型)
选型
选择(遗传算法)
数据集
幻觉
经济
计算机科学
变量(数学)
数理经济学
数学
人工智能
机器学习
数学分析
神经科学
生物
程序设计语言
作者
Domenico Giannone,Michèle Lenza,Giorgio E. Primiceri
出处
期刊:Econometrica
[Wiley]
日期:2021-01-01
卷期号:89 (5): 2409-2437
被引量:62
摘要
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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