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D. Giannone and G. Primiceri Print
Friday, 08 June 2018, 10:30 - 12:00

Joint with NBB, KULeuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, USaint-Louis, Vlerick and VUB

Domenico Giannone, Federal Reserve Bank af NY and Giorgio Primiceri, Northwestern University

Economic Predictions with Big Data: the Illusion of Sparsity

Abstract : We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse or dense model, but on a wide set of models. A clearer pattern of sparsity can only emerge when models of very low dimension are strongly favored a priori. 

 Please reply by email before Thursday June 7th to This e-mail address is being protected from spam bots, you need JavaScript enabled to view it if you wish to
participate to this seminar or if you want to have an appointment with the speaker. In case you want to
access the NBB Parking (rue Montagne aux Herbes potagères 41), please also provide us with your name
and the license plate of your car.

Location: NBB-Room A, Entrance: Warmoesberg 61, 1000 Brussels
Contact: This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

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