External Economics Seminar - Dimitris Koroblis

Wanneer
04-10-2019 van 11:00 tot 12:30
Waar
Faculty Council Room, campus Tweekerken, Tweekerkenstraat 2, 2nd floor
Voertaal
Engels
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Dear Colleagues,

We are pleased to invite you to the External Economics Seminar by Dimitris Koroblis (Professor at University of Glagow)
“High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms”


The seminar will be held on Friday, 4 October 2019 between 11h and 12h30 in Faculty Council Room, Tweekerkenstraat 2, 2nd floor.

After the seminar a sandwich lunch will be provided for participants. Please register by Monday 30 September 2019 at https://doodle.com/poll/e83tfrgz525wa6uu


Abstract:
This paper 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 towards 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 (GAMP) 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.

Ralph De Haas will be available for a personal contact. If you would like to fix a personal appointment (between 10h and 11h30), you can contact Gerdie Everaert ( ).


External Economics Seminars are expected to be attended by all PhD students of the Department of Economics (as part of the PhD training) and is strongly recommended to other members of the department (ZAP and postdocs).

 
Kind regards,

Economics Seminars Team