Macroeconometrics with High-dimensional Data

Stefan Zeugner

Thesis Draft - Monograph: Macroeconometrics with High-dimensional Data

Thesis Draft: Chapters in article form:

Please find the chapters of my thesis draft (as of 23 May 2012) below:

• First Chapter: Benchmark Priors Revisited: On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging, revised version of my IMF working paper (jointly with M. Feldkircher)
• Second Chapter: The Impact of Data Revisions on the Robustness of Growth Determinants - A Note on 'Determinants of Economic Growth. Will Data Tell?', forthcoming in Journal of Applied Econometrics (jointly with M. Feldkircher)
• Third Chapter main text and its Web Appendix: Leverage as a Predictor for Real Activity and Volatility, forthcoming in JEDC (jointly with R. Kollmann)
• Fourth Chapter: Principal Component-augmented Model Averaging (jointly with M. Wagner)

Version submitted for public defense at ECARES, ULB, 12 Sept 2012.