The illusion of the illusion of sparsity: an exercise in prior sensitivity

Página do item simplificado
dc.contributor.authorFava, Bruno Vinicius Nunes
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorFava, Bruno Vinicius Nunes
dc.date.accessioned2022-10-06T19:30:32Z
dc.date.available2022-10-06T19:30:32Z
dc.date.issued2021
dc.description.otherThe emergence of Big Data raises the question of how to model economic relations when there is a large number of possible explanatory variables. We revisit the issue by comparing the possibility of using dense or sparse models in a Bayesian approach, allowing for variable selection and shrinkage. More specifically, we discuss the results reached by Giannone, Lenza and Primiceri (2020) through a “Spike-and-Slab” prior, which suggest an “illusion of sparsity” in economic data, as no clear patterns of sparsity could be detected. We make a further revision of the posterior distributions of the model, and propose three experiments to evaluate the robustness of the adopted prior distribution. We find that the pattern of sparsity is sensitive to the prior distribution of the regression coefficients, and present evidence that the model indirectly induces variable selection and shrinkage, which suggests that the “illusion of sparsity” could be, itself, an illusionpt_BR
dc.format.extentp. 699-720pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1214/21-BJPS503pt_BR
dc.identifier.issn1030752pt_BR
dc.identifier.issue4pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4154
dc.identifier.volume35pt_BR
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.isboundProdução vinculada ao Núcleo de Ciências de Dados e Decisão
dc.relation.ispartofBrazilian Journal of Probability and Statisticspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsNão informadopt_BR
dc.titleThe illusion of the illusion of sparsity: an exercise in prior sensitivitypt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://projecteuclid.org/journals/brazilian-journal-of-probability-and-statistics/volume-35/issue-4/The-illusion-of-the-illusion-of-sparsity--An-exercise/10.1214/21-BJPS503.short
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

Arquivos

Pacote original

Agora exibindo 1 - 2 de 2
N/D
Nome:
R_Artigo_2021_The illusion of the illusion_EV.pdf
Tamanho:
25.61 KB
Formato:
Adobe Portable Document Format
Descrição:
R_Artigo_2021_The illusion of the illusion_EV
Baixar
Imagem de Miniatura
Nome:
Acesso_Primeira Pagina_The illusion of the illusion of sparsity an exercise in prior sensitivity.pdf
Tamanho:
28.95 KB
Formato:
Adobe Portable Document Format
Baixar

Licença do pacote

Agora exibindo 1 - 1 de 1
N/D
Nome:
license.txt
Tamanho:
282 B
Formato:
Item-specific license agreed upon to submission
Descrição:
Baixar

Coleções

Coleção de Artigos Acadêmicos