Economic Predictions With Big Data: The Illusion of Sparsity

DOI10.3982/ecta17842OpenAlexW3123265401MaRDI QIDQ6100262

Michele Lenza, Domenico Giannone, Giorgio E. Primiceri

Publication date: 12 May 2023

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta17842

zbMATH Keywords

model uncertaintyvariable selectionshrinkagehigh dimensionaldata

Mathematics Subject Classification ID

Statistics (62-XX)

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