Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
灵活的贝叶斯 MIDAS：时变性、分组收缩与稀疏化
We propose a mixed-frequency regression prediction approach that models a time-varying trend and stochastic volatility in the trend and in the variable of interest.The coefficients of high-frequency indicators are regularized via a shrinkage prior that accounts for the grouping structure and within-group correlation among lags.A new sparsification algorithm on the posterior motivated by Bayesian decision theory derives inclusion probabilities over lag groups, thus making the…