共轭贝叶斯向量自回归中的子空间收缩

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-02-06 DOI:10.1002/jae.2966

Florian Huber, Gary Koop

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引用次数: 1

摘要

使用大型数据集的宏观经济学家经常面临使用大型向量自回归(VAR)或因子模型的选择。在本文中，我们开发了使用子空间收缩先验结合两者的方法。子空间先验向一类函数收缩，而不是直接将模型的参数强制到某个预先指定的位置。我们开发了一个共轭VAR先验，它向由因子模型定义的子空间收缩。我们的方法允许估计收缩的强度以及因素的数量。在建立了我们之前提出的理论性质之后，我们进行了模拟并将其应用于美国宏观经济数据。通过模拟，我们证明了我们的框架成功地检测了许多因素。在涉及大型宏观经济数据集的预测练习中，我们发现使用我们的先验将var与因子模型相结合可以导致预测的改进。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Subspace shrinkage in conjugate Bayesian vector autoregressions

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Subspace shrinkage in conjugate Bayesian vector autoregressions

Macroeconomists using large datasets often face the choice of working with either a large vector autoregression (VAR) or a factor model. In this paper, we develop a conjugate Bayesian VAR with a subspace shrinkage prior that combines the two. This prior shrinks towards the subspace which is defined by a factor model. Our approach allows for estimating the strength of the shrinkage and the number of factors. After establishing the theoretical properties of our prior, we show that it successfully detects the number of factors in simulations and that it leads to forecast improvements using US macroeconomic data.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.