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Forecasting with Bayesian Vector Autoregressions

Citations

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Cited by:

  1. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021. "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS) 1348, University of Warwick, Department of Economics.
  2. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
  3. Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
  4. Louzis Dimitrios P., 2016. "Steady-state priors and Bayesian variable selection in VAR forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 495-527, December.
  5. 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.
  6. Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  7. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
  8. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
  9. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
  10. Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
  11. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
  12. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  13. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248, Emerald Group Publishing Limited.
  14. Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
  15. Anastasios Evgenidis & Apostolos Fasianos, 2019. "Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data," Papers 1912.09702, arXiv.org.
  16. Hajargasht, Gholamreza & Rao, D.S. Prasada, 2019. "Multilateral index number systems for international price comparisons: Properties, existence and uniqueness," Journal of Mathematical Economics, Elsevier, vol. 83(C), pages 36-47.
  17. Knüppel, Malte & Schultefrankenfeld, Guido, 2019. "Assessing the uncertainty in central banks’ inflation outlooks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1748-1769.
  18. Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
  19. Heiner F. Mikosch & Stefan Neuwirth, 2015. "Real-Time Forecasting with a MIDAS VAR," KOF Working papers 15-377, KOF Swiss Economic Institute, ETH Zurich.
  20. MAMATZAKIS, emmanuel & MAMATZAKIS, E, 2022. "Understanding the impact of travel on wellbeing: evidence for Great Britain during the pandemic," MPRA Paper 112974, University Library of Munich, Germany.
  21. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
  22. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
  23. Suder, Marcin & Gurgul, Henryk & Barbosa, Belem & Machno, Artur & Lach, Łukasz, 2024. "Effectiveness of ATM withdrawal forecasting methods under different market conditions," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
  24. repec:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
  25. Tobias S. Blattner & Michael A. S. Joyce, 2020. "The Euro Area Bond Free Float and the Implications for QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1361-1395, September.
  26. Anttonen, Jetro, 2018. "Nowcasting the Unemployment Rate in the EU with Seasonal BVAR and Google Search Data," ETLA Working Papers 62, The Research Institute of the Finnish Economy.
  27. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
  28. Follett, Lendie & Yu, Cindy, 2019. "Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior," Econometrics and Statistics, Elsevier, vol. 11(C), pages 130-144.
  29. 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.
  30. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
  31. Florian Huber & Tamás Krisztin & Philipp Piribauer, 2017. "Forecasting Global Equity Indices Using Large Bayesian Vars," Bulletin of Economic Research, Wiley Blackwell, vol. 69(3), pages 288-308, July.
  32. Katarzyna Budnik & Gerhard Rünstler, 2023. "Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 186-201, March.
  33. Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
  34. Mikhail Mamonov & Anna Pestova, 2021. ""Sorry, You're Blocked." Economic Effects of Financial Sanctions on the Russian Economy," CERGE-EI Working Papers wp704, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  35. Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
  36. 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.
  37. Pedro Costa Ferreira & Raíra Marotta B. Vieira & Felipi Bruno Silva & Ingrid C. L. Oliveira, 2019. "Measuring Brazilian Economic Uncertainty," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 25-40, April.
  38. Morão, Hugo, 2024. "The impact of carbon policy news on the national energy industry," Energy Economics, Elsevier, vol. 134(C).
  39. Epstein, Brendan & Finkelstein Shapiro, Alan & González Gómez, Andrés, 2019. "Global financial risk, aggregate fluctuations, and unemployment dynamics," Journal of International Economics, Elsevier, vol. 118(C), pages 351-418.
  40. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
  41. Sinan Q. Salih & Intisar Alakili & Ufuk Beyaztas & Shamsuddin Shahid & Zaher Mundher Yaseen, 2021. "Prediction of dissolved oxygen, biochemical oxygen demand, and chemical oxygen demand using hydrometeorological variables: case study of Selangor River, Malaysia," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(5), pages 8027-8046, May.
  42. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
  43. Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.
  44. Kilian, Lutz & Zhou, Xiaoqing, 2022. "The impact of rising oil prices on U.S. inflation and inflation expectations in 2020–23," Energy Economics, Elsevier, vol. 113(C).
  45. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
  46. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
  47. Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
  48. Franta, Michal, 2017. "Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 136-157.
  49. repec:wrk:wrkemf:32 is not listed on IDEAS
  50. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
  51. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  52. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2019. "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors," Journal of Econometrics, Elsevier, vol. 212(1), pages 137-154.
  53. 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.
  54. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
  55. Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
  56. Meilina Retno Hapsari & Suci Astutik & Loekito Adi Soehono, 2020. "Estimation of VECM Parameter Using Bayesian Approach: An Application to Analysis of Macroeconomic Variables," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 9(6), pages 113-113, November.
  57. Laurynas Narusevicius & Tomas Ramanauskas & Laura Gudauskaitė & Tomas Reichenbachas, 2019. "Lithuanian house price index: modelling and forecasting," Bank of Lithuania Occasional Paper Series 28, Bank of Lithuania.
  58. Tomasz Woźniak, 2016. "Bayesian Vector Autoregressions," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 49(3), pages 365-380, September.
  59. Valeriu Nalban, 2015. "Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(1), pages 60-74, March.
  60. Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
  61. Paci, Lucia & Consonni, Guido, 2020. "Structural learning of contemporaneous dependencies in graphical VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
  62. Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, vol. 12(2), pages 1-41, July.
  63. Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers 184, Bank of Greece.
  64. Battulga Gankhuu, 2024. "Bayesian Markov-Switching Vector Autoregressive Process," Papers 2404.11235, arXiv.org, revised Sep 2024.
  65. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
  66. Máximo Camacho & Matías Pacce & Gabriel Pérez-Quirós, 2020. "Spillover effects in international business cycles," Working Papers 2034, Banco de España.
  67. Oğuz, Fuat & Akkemik, K. Ali & Göksal, Koray, 2015. "Toward a wider market definition in broadband: The case of Turkey," Utilities Policy, Elsevier, vol. 37(C), pages 111-119.
  68. Oskar Gustafsson & Mattias Villani & Pär Stockhammar, 2023. "Bayesian optimization of hyperparameters from noisy marginal likelihood estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 577-595, June.
  69. Gunter, Ulrich & Önder, Irem, 2016. "Forecasting city arrivals with Google Analytics," Annals of Tourism Research, Elsevier, vol. 61(C), pages 199-212.
  70. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
  71. Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  72. 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.
  73. Dimitrios P. Louzis, 2017. "Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs," Empirical Economics, Springer, vol. 53(2), pages 569-598, September.
  74. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
  75. Lodge, David & Soudan, Michel, 2019. "Credit, financial conditions and the business cycle in China," Working Paper Series 2244, European Central Bank.
  76. Samuel N. Cohen & Silvia Lui & Will Malpass & Giulia Mantoan & Lars Nesheim & 'Aureo de Paula & Andrew Reeves & Craig Scott & Emma Small & Lingyi Yang, 2023. "Nowcasting with signature methods," Papers 2305.10256, arXiv.org.
  77. Ankargren, Sebastian & Shahnazarian, Hovick, 2019. "The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden," Working Paper Series 365, Sveriges Riksbank (Central Bank of Sweden), revised 01 Apr 2019.
  78. Apostolos Ampountolas, 2019. "Forecasting hotel demand uncertainty using time series Bayesian VAR models," Tourism Economics, , vol. 25(5), pages 734-756, August.
  79. Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.
  80. Copaciu, Mihai & Nalban, Valeriu & Bulete, Cristian, 2015. "R.E.M. 2.0, An estimated DSGE model for Romania," Dynare Working Papers 48, CEPREMAP.
  81. Lai, Wei-Ting & Chen, Ray-Bing & Chen, Ying & Koch, Thorsten, 2022. "Variational Bayesian inference for network autoregression models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
  82. Diab, Sara & Karaki, Mohamad B., 2023. "Do increases in gasoline prices cause higher food prices?," Energy Economics, Elsevier, vol. 127(PB).
  83. Thu, Le Ha & Leon-Gonzalez, Roberto, 2021. "Forecasting macroeconomic variables in emerging economies," Journal of Asian Economics, Elsevier, vol. 77(C).
  84. Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
  85. Graham Elliott & Allan Timmermann, 2016. "Forecasting in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 81-110, October.
  86. Karamanis, Dimitrios & Kechrinioti, Alexandra, 2023. "The Greek-Turkish rivalry: A Bayesian VAR approach," MPRA Paper 116827, University Library of Munich, Germany.
  87. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
  88. Aleksandra Bezborodova & Yuri Mihalenok, 2015. "Analysis of the monetary policy transmission mechanism in the Republic of Belarus: Bayesian approach (in Russian)," Quantile, Quantile, issue 13, pages 41-61, May.
  89. Prüser Jan & Hanck Christoph, 2021. "A Comparison of Approaches to Select the Informativeness of Priors in BVARs," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(4), pages 501-525, August.
  90. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
  91. Akbar, Muhammad & Iqbal, Farhan & Noor, Farzana, 2019. "Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan," Resources Policy, Elsevier, vol. 62(C), pages 154-164.
  92. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
  93. Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
  94. Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  95. repec:hal:spmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
  96. 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).
  97. James P. LeSage & Daniel Hendrikz, 2019. "Large Bayesian vector autoregressive forecasting for regions: A comparison of methods based on alternative disturbance structures," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 62(3), pages 563-599, June.
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