Forecasting Euro Area Macroeconomic Variables with Bayesian Adaptive Elastic Net
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Cited by:
- Yang Aijun & Xiang Ju & Yang Hongqiang & Lin Jinguan, 2018. "Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1123-1138, April.
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More about this item
Keywords
Elastic net; Lasso; Bayesian; Forecasting;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2015-05-22 (European Economics)
- NEP-ETS-2015-05-22 (Econometric Time Series)
- NEP-FOR-2015-05-22 (Forecasting)
- NEP-MAC-2015-05-22 (Macroeconomics)
- NEP-ORE-2015-05-22 (Operations Research)
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