Bayesian Semiparametric Shrinkage

This code replicates the results in the paper

Korobilis, D. (2013). “Bayesian Forecasting with Highly Correlated Predictors ”, Economics Letters, 118, pp. 148-150.

using a Bayesian semiparametric shrinkage prior. For the technical appendix describing the MCMC algorithm, see here

Download code here: BSS_WEB.zip