Bayesian MIDAS penalized regressions: estimation, selection, and prediction (Q2024454)

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English	Bayesian MIDAS penalized regressions: estimation, selection, and prediction	scientific article

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instance of

scholarly article

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title

Bayesian MIDAS penalized regressions: estimation, selection, and prediction (English)

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Journal of Econometrics

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publication date

4 May 2021

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full work available at URL

https://arxiv.org/abs/1903.08025

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zbMATH Keywords

Bayesian MIDAS regressions

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penalized regressions

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predictive distribution

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forecasting

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posterior contraction

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MaRDI profile type

MaRDI publication profile

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cites work

Goodness of prediction fit

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Regression models with mixed sampling frequencies

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Stability of Stochastic Approximation under Verifiable Conditions

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A computational framework for empirical Bayes inference

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Determining the Number of Factors in Approximate Factor Models

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Forecasting economic time series using targeted predictors

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Optimal predictive model selection.

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Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors

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Simultaneous analysis of Lasso and Dantzig selector

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Statistics for high-dimensional data. Methods, theory and applications.

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Empirical Bayes Gibbs sampling

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Bayesian linear regression with sparse priors

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Nowcasting from disaggregates in the face of location shifts

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Least angle regression. (With discussion)

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Common risk factors in the returns on stocks and bonds

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Factor-Adjusted Regularized Model Selection

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Nonconcave Penalized Likelihood With NP-Dimensionality

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Optimal prediction pools

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Convergence rates of posterior distributions for non iid observations

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Fundamentals of Nonparametric Bayesian Inference

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MIDAS Regressions: Further Results and New Directions

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Priors for the Long Run

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Strictly Proper Scoring Rules, Prediction, and Estimation

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Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model

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Geometric ergodicity of the Bayesian Lasso

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Factor models and variable selection in high-dimensional regression analysis

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Bayesian compressed vector autoregressions

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Adaptive hierarchical priors for high-dimensional vector autoregressions

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Penalized regression, standard errors, and Bayesian Lassos

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Q4328418

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Bayesian adaptive Lasso

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Oracle inequalities and optimal inference under group sparsity

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Q2857562

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Bayesian linear regression for multivariate responses under group sparsity

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The Bayesian Lasso

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A MIDAS approach to modeling first and second moment dynamics

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The Spike-and-Slab LASSO

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Selection of tuning parameters, solution paths and standard errors for Bayesian Lassos

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Q4864293

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High-dimensional macroeconomic forecasting and variable selection via penalized regression

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A note on adaptive group Lasso

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Asymptotic Inference about Predictive Ability

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Bayesian variable selection and estimation for group Lasso

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Model Selection and Estimation in Regression with Grouped Variables

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Nearly unbiased variable selection under minimax concave penalty

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Bayesian Approach to Constructing Multiple Confidence Intervals of Selected Parameters with Sparse Signals

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The Adaptive Lasso and Its Oracle Properties

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Regularization and Variable Selection Via the Elastic Net

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Identifiers

zbMATH Open document ID

1471.62422

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DOI

10.1016/j.jeconom.2020.07.022

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2024454