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Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models

Publication ,  Journal Article
Lavine, I; Lindon, M; West, M
Published in: Bayesian Analysis, 16:1059-1083, 2021
June 15, 2019

We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant models. Based on formal Bayesian decision-theoretic reasoning, we develop a time-adaptive approach to exploring, weighting, combining and selecting models that differ in terms of predictive variables included. The adaptivity allows for changes in the sets of favored models over time, and is guided by the specific forecasting goals. A synthetic example illustrates how decision-guided variable selection differs from traditional Bayesian model uncertainty analysis and standard model averaging. An applied study in one motivating application of long-term macroeconomic forecasting highlights the utility of the new approach in terms of improving predictions as well as its ability to identify and interpret different sets of relevant models over time with respect to specific, defined forecasting goals.

Duke Scholars

Published In

Bayesian Analysis, 16:1059-1083, 2021

Publication Date

June 15, 2019
 

Citation

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Lavine, I., Lindon, M., & West, M. (2019). Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models. Bayesian Analysis, 16:1059-1083, 2021.
Lavine, Isaac, Michael Lindon, and Mike West. “Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models.” Bayesian Analysis, 16:1059-1083, 2021, June 15, 2019.
Lavine I, Lindon M, West M. Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models. Bayesian Analysis, 16:1059-1083, 2021. 2019 Jun 15;
Lavine, Isaac, et al. “Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models.” Bayesian Analysis, 16:1059-1083, 2021, June 2019.
Lavine I, Lindon M, West M. Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models. Bayesian Analysis, 16:1059-1083, 2021. 2019 Jun 15;

Published In

Bayesian Analysis, 16:1059-1083, 2021

Publication Date

June 15, 2019