%0 Generic
%A Korobilis, Dimitris
%I Taylor & Francis
%D 2021
%G English
%T High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
%U http://bonn.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV3LasMwEFzaBEKh0Dd9o0OPderYQraOxY4pFIdCc0kvRpIVJ9A4xXb_v1pbhl56CD0K9BgQ7Ejs7CzAw5IxygNJnVwE1KHK_FkNK0rHzZXrSkMQjGKBczrjyQebT_nManOwFsbeL8ojFWZPMZePCqW2_whzQ_q04ePluqhXotJjzoOJYfR9GHqs_VEN40UULTp3ob9mm6jbb_-LSpKjf4I4hlFsFpB33ZzAni5PYZTa9PgZvKJqw4nRsL8z2yCpMIFW2-Jjgn04lahR6UxarQBJsQNKocmbeUPj-Pmz2FbrZrWpz8FPpvPoxenxZV-dMUVmHvSILtvwrEeXWXT-BRwK1MyXTVtbl18C0Z7wXF-qCRWcai5EyCVVhr3Q0kX64RU87nLE9W7Tb-DAQ30IZnj4LQya6lvfwUBuy_Le3uMPy6qsFg
%X This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility, and exogenous predictors, as an equivalent high-dimensional static regression problem with thousands of covariates. Inference in this specification proceeds using Bayesian hierarchical priors that shrink the high-dimensional vector of coefficients either toward zero or time-invariance. Second, it introduces the frameworks of factor graphs and message passing as a means of designing efficient Bayesian estimation algorithms. In particular, a generalized approximate message passing algorithm is derived that has low algorithmic complexity and is trivially parallelizable. The result is a comprehensive methodology that can be used to estimate time-varying parameter regressions with arbitrarily large number of exogenous predictors. In a forecasting exercise for U.S. price inflation this methodology is shown to work very well. Supplementary materials for this article are available online.
%K Biotechnology
%K Environmental Sciences not elsewhere classified
%K FOS: Computer and information sciences
%K FOS: Earth and related environmental sciences
%K FOS: Mathematics
%K Information Systems not elsewhere classified
%K Mathematical Sciences not elsewhere classified
%K Medicine
%K Molecular Biology