BEGIN:VCALENDAR VERSION:2.0 PRODID:-//AMSE//Event Calendar//FR CALSCALE:GREGORIAN METHOD:PUBLISH BEGIN:VEVENT UID:event-10437@amse-aixmarseille.fr DTSTAMP:20260418T083931Z CREATED:20260418T083931Z LAST-MODIFIED:20260418T083931Z STATUS:CONFIRMED SEQUENCE:0 SUMMARY:big data and econometrics seminar - Anna Simoni DTSTART:20240109T130000Z DTEND:20240109T143000Z DESCRIPTION:In this paper we construct optimal forecasts for macroeconomic aggregates in presence of a large number of series that can be cast into gr oups. The aim is to provide policymakers with tools that accurately track e conomic conditions in real time. The variables in each group have strong co variation and common characteristics and patterns. The group structure is e xploited by designing a convenient prior that induces a bi-level sparsity â €“ at the group level and within group. Such a sparsity structure mirrors t he fact that not all predictors are relevant to forecast the target series\ , conditional on the remaining groups and predictors. This is particularly true when there are many predictors weakly correlated with the target varia ble\, as it is often the case with predictors arising from alternative sour ces. Under the assumption that the true data generating process exhibits th is bi-level sparse structure\, our posterior distribution is able to recove r the optimal forecast asymptotically and its support is made of parameters with at most the same sparsity as the true sparse model. The rate of contr action of the posterior distribution is recovered. Finite sample properties of our procedure are illustrated through Monte Carlo experiments. We illus trate the performance of our procedure with real data through a nowcasting exercise of the quarterly growth rate of the US GDP.\\n\\nContact: Michel L ubrano : michel.lubrano[at]univ-amu.frPierre Michel : pierre.michel[at]uni v-amu.fr\n\nPlus d'informations: https://amse-aixmarseille.fr/fr/evenements /anna-simoni-1 LOCATION:ÃŽlot Bernard du Bois - Salle 21\, AMU - AMSE\, 5-9 boulevard Maur ice Bourdet\, 13001 Marseille URL;VALUE=URI:https://amse-aixmarseille.fr/fr/evenements/anna-simoni-1 CONTACT:Michel Lubrano : michel.lubrano[at]univ-amu.frPierre Michel : \ ;pierre.michel[at]univ-amu.fr TRANSP:OPAQUE END:VEVENT END:VCALENDAR