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Steady-state priors for vector autoregressions

Citations

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography for Economics:
  1. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)

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Cited by:

  1. International Monetary Fund, 2018. "Chile: Selected Issues Paper," IMF Staff Country Reports 2018/312, International Monetary Fund.
  2. Pär Stockhammar & Pär Österholm, 2018. "Do inflation expectations granger cause inflation?," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(2), pages 403-431, August.
  3. Marta Bañbura & Danilo Leiva-León & Jan-Oliver Menz, 2021. "Do inflation expectations improve model-based inflation Forecasts?," Working Papers 2138, Banco de España.
  4. Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," Working Papers 789, DNB.
  5. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  6. 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.
  7. Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
  8. Stefan Laséen & Andrea Pescatori, 2020. "Financial stability and interest‐rate policy: A quantitative assessment of costs and benefit," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(3), pages 1246-1273, August.
  9. 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.
  10. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
  11. Hovick Shahnazarian & Martin Solberger & Erik Spånberg, 2017. "Forecasting and Analysing Corporate Tax Revenues in Sweden Using Bayesian VAR Models," Finnish Economic Papers, Finnish Economic Association, vol. 28(1), pages 50-74, Autumn.
  12. International Monetary Fund, 2010. "Panama: Selected Issues Paper," IMF Staff Country Reports 2010/315, International Monetary Fund.
  13. 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.
  14. Pär Österholm, 2010. "Improving Unemployment Rate Forecasts Using Survey Data," Finnish Economic Papers, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
  15. Meredith Beechey & Pär Österholm, 2008. "A Bayesian Vector Autoregressive Model with Informative Steady‐state Priors for the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 84(267), pages 449-465, December.
  16. Rubaszek, Michał, 2021. "Forecasting crude oil prices with DSGE models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 531-546.
  17. Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
  18. Jarociński, Marek & Marcet, Albert, 2019. "Priors about observables in vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(2), pages 238-255.
  19. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
  20. Franta, Michal, 2021. "The Likelihood Of Effective Lower Bound Events," Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2058-2079, December.
  21. Unn Lindholm & Marcus Mossfeldt & Pär Stockhammar, 2020. "Forecasting inflation in Sweden," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(1), pages 39-68, April.
  22. Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.
  23. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
  24. 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).
  25. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
  26. Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
  27. Andrzej Kociecki & Marcin Kolasa & Michal Rubaszek, 2011. "Predictivistic Bayesian Forecasting System," NBP Working Papers 87, Narodowy Bank Polski.
  28. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
  29. Linde, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks' Macro Models," CEPR Discussion Papers 11405, C.E.P.R. Discussion Papers.
  30. Iversen, Jens & Laséen, Stefan & Lundvall, Henrik & Söderström, Ulf, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," Working Paper Series 318, Sveriges Riksbank (Central Bank of Sweden).
  31. Helge Berger & Pär Österholm, 2011. "Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out‐of‐Sample Forecasts Using Bayesian VARs," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 45-60, March.
  32. Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017. "Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
  33. 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.
  34. Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Discussion Papers 2113, Centre for Macroeconomics (CFM).
  35. Par Osterholm, 2010. "The effect on the Swedish real economy of the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 265-274.
  36. Smets, Frank & Warne, Anders & Wouters, Rafael, 2014. "Professional forecasters and real-time forecasting with a DSGE model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 981-995.
  37. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Research Working Paper RWP 11-16, Federal Reserve Bank of Kansas City.
  38. 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.
  39. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
  40. Thomas Jonsson & Pär Österholm, 2012. "The properties of survey-based inflation expectations in Sweden," Empirical Economics, Springer, vol. 42(1), pages 79-94, February.
  41. Francesco Bianchi & Giovanni Nicolo & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," Finance and Economics Discussion Series 2023-038, Board of Governors of the Federal Reserve System (U.S.).
  42. Frantisek Brazdik & Michal Franta, 2017. "A BVAR Model for Forecasting of Czech Inflation," Working Papers 2017/7, Czech National Bank.
  43. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  44. Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
  45. Michal Franta & Jan Libich, 2024. "Holding the economy by the tail: analysis of short- and long-run macroeconomic risks," Empirical Economics, Springer, vol. 66(4), pages 1443-1489, April.
  46. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  47. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
  48. Ca’ Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2017. "Exchange rate forecasting with DSGE models," Journal of International Economics, Elsevier, vol. 107(C), pages 127-146.
  49. Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
  50. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
  51. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
  52. Beechey, Meredith & Österholm, Pär, 2010. "Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors," International Journal of Forecasting, Elsevier, vol. 26(2), pages 248-264, April.
  53. Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2016. "Macroeconomic effects of a decline in housing prices in Sweden," Journal of Policy Modeling, Elsevier, vol. 38(2), pages 242-255.
  54. P�r Österholm & P�r Stockhammar, 2014. "The euro crisis and Swedish GDP growth - a study of spillovers," Applied Economics Letters, Taylor & Francis Journals, vol. 21(16), pages 1105-1110, November.
  55. Todd E. Clark & Edward S. Knotek & Saeed Zaman, 2015. "Measuring Inflation Forecast Uncertainty," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2015(03), pages 1-6, March.
  56. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  57. Chan, Joshua C.C. & Koop, Gary, 2014. "Modelling breaks and clusters in the steady states of macroeconomic variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 186-193.
  58. Milan Szabo, 2024. "Disciplining growth‐at‐risk models with survey of professional forecasters and Bayesian quantile regression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1975-1981, September.
  59. Schreiber, Sven & Soldatenkova, Natalia, 2016. "Anticipating business-cycle turning points in real time using density forecasts from a VAR," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 166-187.
  60. Nicolo Maffei-Faccioli, 2020. "Identifying the Sources of the Slowdown in Growth: Demand vs. Supply," 2020 Papers pma2978, Job Market Papers.
  61. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
  62. Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
  63. Macias, Paweł & Stelmasiak, Damian & Szafranek, Karol, 2023. "Nowcasting food inflation with a massive amount of online prices," International Journal of Forecasting, Elsevier, vol. 39(2), pages 809-826.
  64. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
  65. Corbo, Vesna & Di Casola, Paola, 2018. "Conditional exchange rate pass-through: evidence from Sweden," Working Paper Series 352, Sveriges Riksbank (Central Bank of Sweden).
  66. 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.
  67. Dimitris Korobilis, 2013. "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
  68. 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.
  69. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2017. "Have Standard VARS Remained Stable Since the Crisis?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 931-951, August.
  70. Andres–Escayola, Erik & Berganza, Juan Carlos & Campos, Rodolfo G. & Molina, Luis, 2023. "A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
  71. 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.
  72. Nadiia Shapovalenko, 2021. "A BVAR Model for Forecasting Ukrainian Inflation," IHEID Working Papers 05-2021, Economics Section, The Graduate Institute of International Studies.
  73. Andrle, Michal & Plašil, Miroslav, 2018. "Econometrics with system priors," Economics Letters, Elsevier, vol. 172(C), pages 134-137.
  74. Michal Andrle & Miroslav Plašil, 2016. "System Priors for Econometric Time Series," IMF Working Papers 2016/231, International Monetary Fund.
  75. Lisandro Abrego & Pär Österholm, 2010. "External Linkages and Economic Growth in Colombia: Insights from a Bayesian VAR Model," The World Economy, Wiley Blackwell, vol. 33(12), pages 1788-1810, December.
  76. Burban, Valentin & De Backer, Bruno & Schupp, Fabian & Vladu, Andreea Liliana, 2022. "Decomposing market-based measures of inflation compensation into inflation expectations and risk premia," Economic Bulletin Boxes, European Central Bank, vol. 8.
  77. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Business and Economics.
  78. James Morley & Benjamin Wong, 2020. "Estimating and accounting for the output gap with large Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 1-18, January.
  79. Alistair Dieppe & Bjorn van Roye & Paolo. Bonomolo, 2017. "Re-assessing Monetary Policy Shocks in China," EcoMod2017 10524, EcoMod.
  80. Sune Karlsson & Pär Österholm, 2023. "Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions," Scandinavian Journal of Economics, Wiley Blackwell, vol. 125(1), pages 287-314, January.
  81. Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
  82. Mossfeldt, Marcus & Stockhammar, Pär, 2016. "Forecasting Goods and Services Inflation in Sweden," Working Papers 146, National Institute of Economic Research.
  83. Smets, Frank & Warne, Anders & Wouters, Raf, 2013. "Professional forecasters and the real-time forecasting performance of an estimated new keynesian model for the euro area," Working Paper Series 1571, European Central Bank.
  84. Lidiema, Caspah, 2018. "Intra-market linkages in the financial sector and their effects on financial inclusion," KBA Centre for Research on Financial Markets and Policy Working Paper Series 28, Kenya Bankers Association (KBA).
  85. 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.
  86. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
  87. Benjamin Wong, 2017. "Historical decompositions for nonlinear vector autoregression models," CAMA Working Papers 2017-62, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  88. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
  89. Marek Jarocinski & Frank Smets, 2008. "House prices and the stance of monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 339-366.
  90. Michal Andrle & Mr. Jaromir Benes, 2013. "System Priors: Formulating Priors about DSGE Models' Properties," IMF Working Papers 2013/257, International Monetary Fund.
  91. Michal Andrle & Mr. Roberto Garcia-Saltos & Giang Ho, 2013. "The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure," IMF Working Papers 2013/220, International Monetary Fund.
  92. Todd E. Clark, 2009. "Is the Great Moderation over? an empirical analysis," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q IV), pages 5-42.
  93. Pär Stockhammar & Pär Österholm, 2017. "The Impact of US Uncertainty Shocks on Small Open Economies," Open Economies Review, Springer, vol. 28(2), pages 347-368, April.
  94. Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F., 2010. "Density-Conditional Forecasts in Dynamic Multivariate Models," Working Paper Series 247, Sveriges Riksbank (Central Bank of Sweden).
  95. Boucherie, Louis & Budnik, Katarzyna & Panos, Jiri, 2022. "Looking at the evolution of macroprudential policy stance: A growth-at-risk experiment with a semi-structural model," Occasional Paper Series 301, European Central Bank.
  96. Spånberg, Erik & Shahnazarian, Hovick, 2019. "The importance of the financial system for the current account in Sweden: A sectoral approach," International Economics, Elsevier, vol. 158(C), pages 91-103.
  97. Rupa Duttagupta & N. Barrera, 2010. "The Impact of the Global Crisis on Canada—What Do Macro-Financial Linkages Tell Us?," IMF Working Papers 2010/005, International Monetary Fund.
  98. Brand, Claus & Bielecki, Marcin & Penalver, Adrian, 2018. "The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43," Occasional Paper Series 217, European Central Bank.
  99. Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
  100. van Roye, Björn, 2011. "Financial stress and economic activity in Germany and the Euro Area," Kiel Working Papers 1743, Kiel Institute for the World Economy (IfW Kiel).
  101. Helge Berger & Pär Österholm, 2011. "Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out‐of‐Sample Forecasts Using Bayesian VARs," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 45-60, March.
  102. van Roye, Björn, 2011. "Zum Einfluss eines Ölpreisanstiegs auf die Konjunktur," Kiel Insight 2011.8, Kiel Institute for the World Economy (IfW Kiel).
  103. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
  104. Andrew Blake & Haroon Mumtaz, 2015. "Applied Bayesian Econometrics for central bankers," Handbooks, Centre for Central Banking Studies, Bank of England, number 36, April.
  105. Sean Langcake & Tim Robinson, 2018. "Forecasting the Australian economy with DSGE and BVAR models," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 251-267, January.
  106. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
  107. Corbo, Vesna & Di Casola, Paola, 2022. "Drivers of consumer prices and exchange rates in small open economies," Journal of International Money and Finance, Elsevier, vol. 122(C).
  108. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  109. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
  110. Carrillo, Julio A. & Elizondo, Rocio & Hernández-Román, Luis G., 2020. "Inquiry on the transmission of U.S. aggregate shocks to Mexico: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 104(C).
  111. Elena Afanasyeva, 2020. "Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap," Finance and Economics Discussion Series 2020-045, Board of Governors of the Federal Reserve System (U.S.).
  112. Karapanagiotidis, Paul, 2012. "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper 38885, University Library of Munich, Germany.
  113. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
  114. George ANTON, 2022. "The importance of demand, uncertainty and monetary policy shocks from the euro area for the Romanian economy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(631), S), pages 25-38, Summer.
  115. Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  116. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Nov 2024.
  117. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
  118. Dimitrios P. Louzis, 2016. "Macroeconomic forecasting and structural changes in steady states," Working Papers 204, Bank of Greece.
  119. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
  120. Sakaria, D.K. & Griffin, J.E., 2017. "On efficient Bayesian inference for models with stochastic volatility," Econometrics and Statistics, Elsevier, vol. 3(C), pages 23-33.
  121. Swamy, Vighneswara, 2020. "Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 126-150.
  122. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
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