Multidimensional arrays (i.e. tensors) of data are becoming increasingly available and call for suitable econometric tools. We propose a new dynamic linear regression model for tensor-valued response variables and covariates that encompasses some well known multivariate models such as SUR, VAR, VECM, panel VAR and matrix regression models as special cases. For dealing with the over-parametrization and over-fitting issues due to the curse of dimensionality, we exploit a suitable parametrization based on the parallel factor (PARAFAC) decomposition which enables to achieve both parameter parsimony and to incorporate sparsity effects. Our contribution is twofold: first, we provide an extension of multivariate econometric models to account for both tensor-variate response and covariates; second, we show the effectiveness of proposed methodology in defining an autoregressive process for time-varying real economic networks. Inference is carried out in the Bayesian framework combined with Monte Carlo Markov Chain (MCMC). We show the efficiency of the MCMC procedure on simulated datasets, with different size of the response and independent variables, proving computational efficiency even with high-dimensions of the parameter space. Finally, we apply the model for studying the temporal evolution of real economic networks.
Matteo Iacopini (Corresponding)
|Data di pubblicazione:||2018|
|Titolo:||Bayesian dynamic tensor regression|
|Titolo del libro:||Bayesian dynamic tensor regression|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.2139/ssrn.3192340|
|Appare nelle tipologie:||3.1 Articolo su libro|