28 citations · 28 across the 1 of their papers we have counts for
2 papers
stat.CO2020
Machine Learning Econometrics: Bayesian algorithms and methods
Dimitris Korobilis, Davide Pettenuzzo
As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for infe…
stat.ME2020★ 28 cited
High-dimensional macroeconomic forecasting using message passing algorithms
Dimitris Korobilis
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…