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Machine Learning Econometrics: Bayesian algorithms and methods

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  • Korobilis, Dimitris
  • Pettenuzzo, Davide

Abstract

As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for inference in empirical models with large information sets. This Chapter provides a review of popular estimation algorithms for Bayesian inference in econometrics and surveys alternative algorithms developed in machine learning and computing science that allow for efficient computation in high-dimensional settings. The focus is on scalability and parallelizability of each algorithm, as well as their ability to be adopted in various empirical settings in economics and finance.

Suggested Citation

  • Korobilis, Dimitris & Pettenuzzo, Davide, 2020. "Machine Learning Econometrics: Bayesian algorithms and methods," MPRA Paper 100165, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:100165
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    References listed on IDEAS

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    1. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
    2. Veronika Ročková & Edward I. George, 2014. "EMVS: The EM Approach to Bayesian Variable Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 828-846, June.
    3. Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
    4. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    5. Korobilis, D, 2017. "Forecasting with many predictors using message passing algorithms," Essex Finance Centre Working Papers 19565, University of Essex, Essex Business School.
    6. Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
    7. Mark Girolami & Ben Calderhead, 2011. "Riemann manifold Langevin and Hamiltonian Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(2), pages 123-214, March.
    8. David M. Blei & Alp Kucukelbir & Jon D. McAuliffe, 2017. "Variational Inference: A Review for Statisticians," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 859-877, April.
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    10. Craiu, Radu V. & Rosenthal, Jeffrey & Yang, Chao, 2009. "Learn From Thy Neighbor: Parallel-Chain and Regional Adaptive MCMC," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1454-1466.
    11. Dimitris Korobilis, 2021. "High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 493-504, March.
    12. J. C. Naylor & A. F. M. Smith, 1982. "Applications of a Method for the Efficient Computation of Posterior Distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 31(3), pages 214-225, November.
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    Cited by:

    1. Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.

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    More about this item

    Keywords

    MCMC; approximate inference; scalability; parallel computation;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software

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