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MPRA Paper 96079 by Michael Tuca is a document available to read on EtoBox.

What is MPRA Paper 96079 about?

This paper presents a novel approach to high-dimensional macroeconomic forecasting by utilizing message passing algorithms and Bayesian hierarchical priors. It reformulates a time-varying parameter regression model as a static regression problem with numerous covariates, allowing for efficient estimation using the Generalized Approximate Message Passing (GAMP) algorithm. The methodology is demonstrated to effectively forecast U.S. price inflation, outperforming traditional MCMC methods in terms of speed and

Author

Michael Tuca

Language

EN