We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. To improve the sparse recovery ability of the model , we also consider a Group Lasso with a spike-and-slab prior. Penalty hyper-parameters governing the model shrinkage are automatically tuned via an adaptive MCMC algorithm.  Simulations show that the proposed models have good selection and forecasting performance  , even when the design matrix presents high cross-correlation. When applied to  U.S. GDP data, the results suggest that financial variables may have some, although  limited, short-term predictive content.
We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of the model and its sparse recovery ability, we consider a Group Lasso with a spike-and-slab prior. Penalty hyper-parameters governing the model shrinkage are automatically tuned via an adaptive MCMC algorithm. We establish good frequentist asymptotic properties of the posterior of the in-sample and out-of-sample prediction error, we recover the optimal posterior contraction rate, and we show optimality of the posterior predictive density. Simulations show that the proposed models have good selection and forecasting performance in small samples , even when the design matrix presents cross-correlation. When applied to forecasting U.S. GDP , our penalized regressions can outperform many strong competitors. Results suggest that financial variables may have some, although very limited, short-term predictive content.
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To improve the sparse recovery ability
In particular, to improve the prediction properties
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, we also
and its sparse recovery ability, we
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We establish good frequentist asymptotic properties of the posterior of the in-sample and out-of-sample prediction error, we recover the optimal posterior contraction rate, and we show optimality of the posterior predictive density.
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in small samples
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high
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forecasting
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data, the results
, our penalized regressions can outperform many strong competitors. Results
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very