Bayesian Dynamic Tensor Regression
Bayesian Dynamic Tensor Regression∗ 1 1 §1,2 Monica Billio† , Roberto Casarin‡ , Matteo Iacopini , Sylvia 3 Kaufmann¶ 1Ca’ Foscari University of Venice 2Scuola Normale Superiore of Pisa 3Study Center Gerzensee, Foundation of the Swiss National Bank Abstract Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response variables and covariates that encompasses some well-known econometric models as special cases. Our contribution is manifold. First, we define a tensor autoregressive process (ART), study its properties and derive the associated impulse response function. Second, we exploit the PARAFAC low-rank decomposition for providing a parsimonious parametrization and to incorporate sparsity effects. We also contribute to inference methods for tensors by developing a Bayesian framework which allows for including extra-sample information and for introducing shrinking ∗We are grateful to Federico Bassetti, Sylvia Frühwirth-Schnatter, Christian Gouriéroux, Søren Johansen, Siem Jan Koopman, Gary Koop, André Lucas, Alain Monfort, Peter Phillips, Christian Robert, Mike West, for their comments and suggestions. Also, we thank the seminar arXiv:1709.09606v3 [stat.ME] 3 Jul 2019 participants at: CREST, University of Southampton, Vrije University of Amsterdam, London School of Economics, Maastricht University, Polytechnic University of Milan. Moreover, we thank the conference and workshop participants at: “ICEEE 2019” in Lecce, 2019, “CFENetwork 2018” in Pisa, 2018, “29th EC2 conference” in Rome, 2018, “12th RCEA Annual meeting” in Rimini, 2018, “8th MAF” in Madrid, 2018, “CFENetwork 2017” in London, 2017, “ICEEE 2017” in Messina, 2017, “3rd Vienna Workshop on High-dimensional Time Series in Macroeconomics and Finance” in Wien, 2017, “BISP10” in Milan, 2017, “ESOBE” in Venice, 2016, “CFENetwork” in Seville, 2016, and the “SIS Intermediate Meeting” of the Italian Statistical Society in Florence, 2016.
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