Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (arXiv:2211.04752v2 [econ.EM] UPDATED)

We develop Bayesian neural networks (BNNs) that permit to model generic
nonlinearities and time variation for (possibly large sets of) macroeconomic
and financial variables. From a methodological point of view, we allow for a
general specification of networks that can be applied to either dense or sparse
datasets, and combines various activation functions, a possibly very large
number of neurons, and stochastic volatility (SV) for the error term. From a
computational point of view, we develop fast and efficient estimation …

arxiv bayesian finance macroeconomics networks neural networks