The availability of large datasets has sparked interest in predictive models with many possible predictors. Using six examples of data from macroeconomics, microeconomics, and finance, this column argues that it is not usually possible to identify sparse models by selecting a handful of predictors from these larger pools. The idea that economic data are informative enough to identify sparse predictive models might be an illusion.
Domenico Giannone, Michele Lenza, Giorgio Primiceri, 08 February 2018
Most Read
-
Hötte, Somers, Theodorakopoulos
-
Doepke, Hannusch, Kindermann, Tertilt
-
Harrison
-
Chepeliev, Maliszewska, Osorio Rodarte, Seara e Pereira, van der Mensbrugghe
-
Haltiwanger, Hyatt, Spletzer
-
Burgess, Sievertsen
-
Eichengreen, O'Rourke
-
Mitze, Kosfeld, Rode, Wälde
-
Heldring, Robinson
-
Allen
Blogs&Reviews
-
Carraro, Cœuré, Dhand, Eichengreen, Mills, Rey, Sapir, Schwarzer
-
Evenett
-
Fullerton, Levinson
-
Hoffmann, Moench, Pavlova, Schultefrankenfeld
-
Reichlin, Adam, McKibbin, McMahon, Reis, Ricco, Weder di Mauro
Events
-
5 - 15 July 2022 / Warwick/Coventry / University of Warwick
-
6 - 6 July 2022 / Online & On ESMT Berlin campus, Schlossplatz 1, 10178 Berlin / ESMT Berlin and CEPR
-
11 - 13 July 2022 / / National Council of Applied Economic Researach (NCAER)
-
8 - 19 August 2022 / Online / Harvard Kennedy School Executive Education
-
22 - 23 August 2022 / Palais Coburg, Vienna, Austria / WU Vienna University of Economics and Business Research Institute for Capital Markets (ISK)
CEPR Policy Research
-
Gobillon, Solignac
-
Giglio, Maggiori, Stroebel, Weber
-
Summers, Fatás
-
Favero, Galasso
-
Butt, Churm, McMahon, Morotz, Schanz
-
Eichengreen, Avgouleas, Poiares Maduro, Panizza, Portes, Weder di Mauro, Wyplosz, Zettelmeyer
-
Baldwin, Beck, Bénassy-Quéré, Blanchard, Corsetti, De Grauwe, den Haan, Giavazzi, Gros, Kalemli-Ozcan, Micossi, Papaioannou, Pesenti, Pissarides , Tabellini, Weder di Mauro
-
Baldwin, Nakatomi
-
Thimann
-
Goodhart, Perotti