Forecasting with Global Vector Autoregressive Models: a Bayesian Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Koop, Gary & Korobilis, Dimitris, 2016.
"Model uncertainty in Panel Vector Autoregressive models,"
European Economic Review, Elsevier, vol. 81(C), pages 115-131.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 1408, University of Strathclyde Business School, Department of Economics.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper 58131, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," SIRE Discussion Papers 2014-011, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2015. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 15-35, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 39_14, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
- Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112999, Verein für Socialpolitik / German Economic Association.
- Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007.
"Exploring the international linkages of the euro area: a global VAR analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers 04.6, Institute of Economic Policy Research (IEPR).
- Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge.
- Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005. "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series 568, European Central Bank.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006 47, Society for Computational Economics.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo.
- Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016.
"Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
- Dovern, Jonas & Feldkircher, Martin & Huber , Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 0590, University of Heidelberg, Department of Economics.
- Jonas Dovern & Martin Feldkircher & Florian Huber, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 200, Oesterreichische Nationalbank (Austrian Central Bank).
- Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007.
"Long Run Macroeconomic Relations in the Global Economy,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-20.
- Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge.
- Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0703, Faculty of Economics, University of Cambridge.
- Stephane Dees & Sean Holly & M. Hashem Pesaran & L. Vanessa Smith, 2007. "Long Run Macroeconomic Relations in the Global Economy," CESifo Working Paper Series 1904, CESifo.
- Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics Discussion Papers 2007-7, Kiel Institute for the World Economy (IfW Kiel).
- Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Holly, Sean, 2007. "Long run macroeconomic relations in the global economy," Working Paper Series 750, European Central Bank.
- Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol, 2012.
"Global and National Macroeconometric Modelling: A Long-Run Structural Approach,"
OUP Catalogue,
Oxford University Press, number 9780199650460.
- Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol, 2006. "Global and National Macroeconometric Modelling: A Long-Run Structural Approach," OUP Catalogue, Oxford University Press, number 9780199296859.
- Han, Fei & Hee Ng, Thiam, 2011. "ASEAN-5 Macroeconomic Forecasting Using a GVAR Model," Working Papers on Regional Economic Integration 76, Asian Development Bank.
- Gary M. Koop, 2013.
"Forecasting with Medium and Large Bayesian VARS,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, March.
- Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper series 43_10, Rimini Centre for Economic Analysis.
- Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
- Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
- Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012. "Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 554-573, June.
- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
- repec:ulb:ulbeco:2013/13388 is not listed on IDEAS
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Sims, Christopher A & Zha, Tao, 1998.
"Bayesian Methods for Dynamic Multivariate Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
- Christopher A. Sims & Tao Zha, 1996. "Bayesian methods for dynamic multivariate models," FRB Atlanta Working Paper 96-13, Federal Reserve Bank of Atlanta.
- Eickmeier, Sandra & Ng, Tim, 2015.
"How do US credit supply shocks propagate internationally? A GVAR approach,"
European Economic Review, Elsevier, vol. 74(C), pages 128-145.
- Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
- Eickmeier, Sandra & Ng, Tim, 2011. "How do credit supply shocks propagate internationally? A GVAR approach," Discussion Paper Series 1: Economic Studies 2011,27, Deutsche Bundesbank.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Litterman, Robert B, 1986.
"Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
- Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-73, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Geweke, John, 2001. "Bayesian econometrics and forecasting," Journal of Econometrics, Elsevier, vol. 100(1), pages 11-15, January.
- Pesaran M.H. & Schuermann T. & Weiner S.M., 2004.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
- Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Center for Financial Institutions Working Papers 01-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data.
- PESARAN M. Hashem & SCHUERMANN Til & WEINER Scott, 2010. "Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model," EcoMod2003 330700121, EcoMod.
- Feldkircher, Martin, 2015.
"A global macro model for emerging Europe,"
Journal of Comparative Economics, Elsevier, vol. 43(3), pages 706-726.
- Martin Feldkircher, 2013. "A Global Macro Model for Emerging Europe," Working Papers 185, Oesterreichische Nationalbank (Austrian Central Bank).
- Ms. Silvia Sgherri & Mr. Alessandro Galesi, 2009. "Regional Financial Spillovers Across Europe: A Global VAR Analysis," IMF Working Papers 2009/023, International Monetary Fund.
- Korobilis, Dimitris, 2016.
"Prior selection for panel vector autoregressions,"
Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," SIRE Discussion Papers 2015-73, Scottish Institute for Research in Economics (SIRE).
- Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," MPRA Paper 64143, University Library of Munich, Germany.
- Giannone, Domenico & Reichlin, Lucrezia, 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 684-686, October.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Feldkircher, Martin & Huber, Florian, 2016. "The international transmission of US shocks—Evidence from Bayesian global vector autoregressions," European Economic Review, Elsevier, vol. 81(C), pages 167-188.
- Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2014.
"Short-term inflation projections: A Bayesian vector autoregressive approach,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 635-644.
- Giannone, Domenico & Lenza, Michele & Onorante, Luca & Momferatou, Daphne, 2010. "Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach," CEPR Discussion Papers 7746, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Daphné Momferatu & Luca Onorante, 2010. "Short-term inflation projections: a Bayesian vector autoregressive approach," Working Papers ECARES ECARES 2010-011, ULB -- Universite Libre de Bruxelles.
- Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
- George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
- Kadiyala, K Rao & Karlsson, Sune, 1997.
"Numerical Methods for Estimation and Inference in Bayesian VAR-Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
- Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," SSE/EFI Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
- Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).
- Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
- Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
- Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016.
"Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
- Jonas Dovern & Martin Feldkircher & Florian Huber, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 200, Oesterreichische Nationalbank (Austrian Central Bank).
- Dovern, Jonas & Feldkircher, Martin & Huber , Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 0590, University of Heidelberg, Department of Economics.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015.
"Bayesian VARs: Specification Choices and Forecast Accuracy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, January.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series) 1112, Federal Reserve Bank of Cleveland.
- Korobilis, Dimitris, 2016.
"Prior selection for panel vector autoregressions,"
Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," SIRE Discussion Papers 2015-73, Scottish Institute for Research in Economics (SIRE).
- Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," MPRA Paper 64143, University Library of Munich, Germany.
- Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
- Berg, Tim O. & Henzel, Steffen R., 2015.
"Point and density forecasts for the euro area using Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
- Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
- Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," ifo Working Paper Series 155, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
- Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-73, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Todd E. Clark & Michael W. McCracken, 2014.
"Evaluating Conditional Forecasts from Vector Autoregressions,"
Working Papers
2014-25, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series) 1413, Federal Reserve Bank of Cleveland.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Alexander Chudik & M. Hashem Pesaran, 2016.
"Theory And Practice Of Gvar Modelling,"
Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
- Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
- Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Papers (Old Series) 1617, Federal Reserve Bank of Cleveland.
- Damian Stelmasiak & Grzegorz Szafrański, 2016. "Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(1), pages 21-42, March.
- Auer, Simone, 2019.
"Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 142-166.
- Simone Auer, 2014. "Monetary policy shocks and foreign investment income: evidence from a large Bayesian VAR," Globalization Institute Working Papers 170, Federal Reserve Bank of Dallas.
- Dr. Simone Auer, 2014. "Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR," Working Papers 2014-02, Swiss National Bank.
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:japmet:v:31:y:2016:i:7:p:1371-1391. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.