Sune Karlsson
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Andrén, Daniela & Clark, Andrew E & D´Ambrosio, Conchita & Karlsson, Sune & Pettersson, Nicklas, 2017.
"Subjective and physiological measures of well-being: an exploratory analysis using birth-cohort data,"
Working Papers
2017:8, Örebro University, School of Business.
Mentioned in:
- Subjective and physiological measures of well-being: an exploratory analysis using birth-cohort data
by maximorossi in NEP-LTV blog on 2018-02-21 12:41:45
- Subjective and physiological measures of well-being: an exploratory analysis using birth-cohort data
- Andrén, Daniela & Clark, Andrew E. & D’Ambrosio, Conchita & Karlsson, Sune & Pettersson, Nicklas, 2019.
"New ways to measure well-being? A first joint analysis of subjective and objective measures,"
Working Papers
2018:13, Örebro University, School of Business.
Mentioned in:
- New ways to measure well-being? A first joint analysis of subjective and objective measures
by maximorossi in NEP-LTV blog on 2019-05-14 14:44:11
- New ways to measure well-being? A first joint analysis of subjective and objective measures
- Author Profile
- Volunteer recognition: Thomas Krichel
by Christian Zimmermann in RePEc blog on 2008-02-21 22:30:00 - Volunteer recognition: Sune Karlsson
by Christian Zimmermann in RePEc blog on 2008-04-19 21:30:00 - EconPapers and LogEc on new hardware
by Christian Zimmermann in RePEc blog on 2009-08-12 07:35:50 - MPRA, the Munich Personal RePEc Archive
by Ekkehart Schlicht in RePEc blog on 2009-08-28 04:29:29 - RePEcFB – An integration of your RePEc data into your Facebook profile
by Christian Zimmermann in RePEc blog on 2009-09-10 01:56:55 - How abstract views and downloads are counted
by Christian Zimmermann in RePEc blog on 2009-09-19 07:25:52
- Volunteer recognition: Thomas Krichel
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- 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.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- 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.
Mentioned in:
Working papers
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021.
"Vector autoregression models with skewness and heavy tails,"
Papers
2105.11182, arXiv.org.
- 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).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
Cited by:
- 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.
- Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
- 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).
- Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022.
"Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve,"
Dynare Working Papers
78, CEPREMAP.
- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," CQE Working Papers 10122, Center for Quantitative Economics (CQE), University of Muenster.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022.
"Modelling Okun’s Law – Does non-Gaussianity Matter?,"
Working Papers
2022:1, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Florian Huber & Gary Koop, 2023.
"Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks,"
Papers
2305.16827, arXiv.org.
- Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers 2309, University of Strathclyde Business School, Department of Economics.
- Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 2023.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022.
"Predicting returns and dividend growth — The role of non-Gaussian innovations,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- Andrea Renzetti, 2023. "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers 2306.09287, arXiv.org, revised Nov 2023.
- Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020.
"Statistical Inference for the Tangency Portfolio in High Dimension,"
Working Papers
2020:10, Örebro University, School of Business.
Cited by:
- Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
- Javed, Farrukh & Mazur, Stepan & Thorsén, Erik, 2021. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Working Papers 2021:13, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan, 2020.
"Flexible Fat-tailed Vector Autoregression,"
Working Papers
2020:5, Örebro University, School of Business.
Cited by:
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021.
"Vector autoregression models with skewness and heavy tails,"
Working Papers
2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- 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).
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Karlsson, Sune & Österholm, Pär, 2019.
"The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?,"
Working Papers
2019:7, Örebro University, School of Business.
- Karlsson, Sune & Österholm, Pär, 2020. "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, vol. 186(C).
Cited by:
- Apergis Nicholas, 2021. "Forecasting US overseas travelling with univariate and multivariate models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 963-976, September.
- Kiss, Tamás & Österholm, Pär, 2020. "Fat tails in leading indicators," Economics Letters, Elsevier, vol. 193(C).
- 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).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
- Edvinsson, Rodney & Karlsson, Sune & Österholm, Pär, 2023. "Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data," Working Papers 2023:3, Örebro University, School of Business.
- Sedegah Kordzo & Odhiambo Nicholas M., 2021. "A Review of the Impact of External Shocks on Monetary Policy Effectiveness in Non-WAEMU Countries," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 31(3), pages 37-59, September.
- Karlsson, Sune & Österholm, Pär, 2018.
"A Note on the Stability of the Swedish Philips Curve,"
Working Papers
2018:6, Örebro University, School of Business.
- Sune Karlsson & Pär Österholm, 2020. "A note on the stability of the Swedish Phillips curve," Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
Cited by:
- Pham, Binh Thai & Sala, Hector, 2021.
"Cross-Country Connectedness in Inflation and Unemployment: Measurement and Macroeconomic Consequences,"
IZA Discussion Papers
14212, Institute of Labor Economics (IZA).
- Binh Thai Pham & Hector Sala, 2022. "Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences," Empirical Economics, Springer, vol. 62(3), pages 1123-1146, March.
- 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.
- Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
- 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.
- Karlsson, Sune & Österholm, Pär, 2018.
"Is the US Phillips Curve Stable? Evidence from Bayesian VARs,"
Working Papers
2018:5, Örebro University, School of Business.
- 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.
Cited by:
- Derek Zweig, 2020. "Market Power, NAIRU, and the Phillips Curve," Abstract and Applied Analysis, Hindawi, vol. 2020, pages 1-18, December.
- Karlsson, Sune & Österholm, Pär, 2018.
"A Note on the Stability of the Swedish Philips Curve,"
Working Papers
2018:6, Örebro University, School of Business.
- Sune Karlsson & Pär Österholm, 2020. "A note on the stability of the Swedish Phillips curve," Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018.
"Comparing hybrid time-varying parameter VARs,"
Economics Letters, Elsevier, vol. 171(C), pages 1-5.
- Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Aquino, Juan, 2019. "The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness," Working Papers 2019-019, Banco Central de Reserva del Perú.
- Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
- Fu, Bowen, 2020. "Is the slope of the Phillips curve time-varying? Evidence from unobserved components models," Economic Modelling, Elsevier, vol. 88(C), pages 320-340.
- Karlsson, Sune, 2012.
"Conditional posteriors for the reduced rank regression model,"
Working Papers
2012:11, Örebro University, School of Business.
Cited by:
- Karlsson, Sune, 2012.
"Forecasting with Bayesian Vector Autoregressions,"
Working Papers
2012:12, Örebro University, School of Business.
- 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.
- Karlsson, Sune, 2012.
"Forecasting with Bayesian Vector Autoregressions,"
Working Papers
2012:12, Örebro University, School of Business.
- 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.
Cited by:
- 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.
- Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
- Lutz Kilian & Xiaoqing Zhou, 2021.
"The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23,"
CESifo Working Paper Series
9455, CESifo.
- 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).
- Kilian, Lutz & Zhou, Xiaoqing, 2021. "The impact of rising oil prices on U.S. inflation and inflation expectations in 2020-23," CFS Working Paper Series 670, Center for Financial Studies (CFS).
- Kilian, Lutz & Zhou, Xiaoqing, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," CEPR Discussion Papers 16776, C.E.P.R. Discussion Papers.
- Lutz Kilian & Xiaoqing Zhou, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," Working Papers 2116, Federal Reserve Bank of Dallas.
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023.
"We modeled long memory with just one lag!,"
Post-Print
hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023.
"Bayesian Local Projections,"
Working Papers Series
581, Central Bank of Brazil, Research Department.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," SciencePo Working papers Main hal-03373574, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021. "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS) 1348, University of Warwick, Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
- Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers 2023-04, Center for Research in Economics and Statistics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018.
"Bayesian vector autoregressions,"
Documents de Travail de l'OFCE
2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Máximo Camacho & Matías Pacce & Gabriel Pérez-Quirós, 2020.
"Spillover effects in international business cycles,"
Working Papers
2034, Banco de España.
- Pérez-Quirós, Gabriel & Camacho, Máximo & Pacce, Matias Jose, 2021. "Spillover Effects in International Business Cycles," CEPR Discussion Papers 15787, C.E.P.R. Discussion Papers.
- Camacho, Maximo & Perez-Quiros, Gabriel & Pacce, Matías, 2020. "Spillover effects in international business cycles," Working Paper Series 2484, European Central Bank.
- 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).
- 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.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2019.
"Assessing the uncertainty in central banks’ inflation outlooks,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1748-1769.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2018. "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers 56/2018, Deutsche Bundesbank.
- Diab, Sara & Karaki, Mohamad B., 2023. "Do increases in gasoline prices cause higher food prices?," Energy Economics, Elsevier, vol. 127(PB).
- Thu, Le Ha & Leon-Gonzalez, Roberto, 2021. "Forecasting macroeconomic variables in emerging economies," Journal of Asian Economics, Elsevier, vol. 77(C).
- Joshua C.C. Chan & Xuewen Yu, 2020.
"Fast and accurate variational inference for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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).
- Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016.
"Bayesian nonparametric sparse VAR models,"
Papers
1608.02740, arXiv.org, revised Oct 2018.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- 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.
- Kilian, Lutz & Inoue, Atsushi, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
CEPR Discussion Papers
15545, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- 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.
- 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.
- Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
- 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.
- 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.
- 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, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
- 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.
- Florian Huber & Tamas Krisztin & Philipp Piribauer, 2014.
"Forecasting Global Equity Indices using Large Bayesian VARs,"
Department of Economics Working Papers
wuwp184, Vienna University of Economics and Business, Department of Economics.
- Huber, Florian & Krisztin, Tamás & Piribauer, Philipp, 2014. "Forecasting Global Equity Indices Using Large Bayesian VARs," Department of Economics Working Paper Series 184, WU Vienna University of Economics and Business.
- 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.
- 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.
- 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.
- 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.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
CEPR Discussion Papers
9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- 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.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, 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.
- 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.
- Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
- 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.
- Elliott, Graham & Timmermann, Allan G, 2016.
"Forecasting in Economics and Finance,"
University of California at San Diego, Economics Working Paper Series
qt6z55v472, Department of Economics, UC San Diego.
- Graham Elliott & Allan Timmermann, 2016. "Forecasting in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 81-110, October.
- Timmermann, Allan & Elliott, Graham, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
- 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.
- Karamanis, Dimitrios & Kechrinioti, Alexandra, 2023. "The Greek-Turkish rivalry: A Bayesian VAR approach," MPRA Paper 116827, University Library of Munich, Germany.
- 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.
- Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
- 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.
- 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.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
- 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.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- 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.
- Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
- 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.
- 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.
- 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.
- Oskar Gustafsson & Mattias Villani & Par Stockhammar, 2020. "Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates," Papers 2004.10092, arXiv.org, revised Aug 2022.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018.
"How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis,"
CAMA Working Papers
2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Gunter, Ulrich & Önder, Irem, 2016. "Forecasting city arrivals with Google Analytics," Annals of Tourism Research, Elsevier, vol. 61(C), pages 199-212.
- Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
- 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.
- Gholamreza Hajargasht & D.S. Prasada Rao, 2019. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," CEPA Working Papers Series WP032019, School of Economics, University of Queensland, Australia.
- Gholamreza Hajargasht & Prasada Rao, 2018. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," Papers 1811.04197, arXiv.org, revised Dec 2018.
- 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).
- 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.
- Joshua C.C. Chan, 2015.
"Large Bayesian VARs: A flexible Kronecker error covariance structure,"
CAMA Working Papers
2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
- 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.
- Petrella, Ivan & Antolin-Diaz, Juan & Rubio-RamÃrez, Juan Francisco, 2018.
"Structural Scenario Analysis with SVARs,"
CEPR Discussion Papers
12579, C.E.P.R. Discussion Papers.
- Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021. "Structural scenario analysis with SVARs," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
- Antolin-Diaz, Juan & Petrella, Ivan & Rubio-Ramirez, Juan F., 2020. "Structural Scenario Analysis with SVARs," EMF Research Papers 32, Economic Modelling and Forecasting Group.
- 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.
- 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.
- 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.
- Mikosch, Heiner & Neuwirth, Stefan, 2015.
"Real-time forecasting with a MIDAS VAR,"
BOFIT Discussion Papers
13/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Heiner F. Mikosch & Stefan Neuwirth, 2015. "Real-Time Forecasting with a MIDAS VAR," KOF Working papers 15-377, KOF Swiss Economic Institute, ETH Zurich.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021.
"Vector autoregression models with skewness and heavy tails,"
Working Papers
2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- 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).
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- 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.
- Michal Franta, 2015.
"Rare Shocks vs. Non-linearities: What Drives Extreme Events in the Economy? Some Empirical Evidence,"
Working Papers
2015/04, Czech National Bank.
- 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.
- Andrejs Zlobins, 2019.
"Country-Level Effects of the ECB's Expanded Asset Purchase Programme,"
Working Papers
2019/02, Latvijas Banka.
- 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.
- 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.
- 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).
- 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.
- 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.
- Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
- Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
- 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.
- Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- 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.
- Lodge, David & Soudan, Michel, 2019. "Credit, financial conditions and the business cycle in China," Working Paper Series 2244, European Central Bank.
- Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
- 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.
- 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.
- 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.
- 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.
- 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.
- Sebastian Ankargren & M{aa}ns Unosson & Yukai Yang, 2019. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Papers 1911.09151, arXiv.org.
- 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.
- 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.
- 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.
- 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).
- 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).
- 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.
- 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.
- 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.
- 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.
- Apostolos Ampountolas, 2019. "Forecasting hotel demand uncertainty using time series Bayesian VAR models," Tourism Economics, , vol. 25(5), pages 734-756, August.
- Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
- Paci, Lucia & Consonni, Guido, 2020. "Structural learning of contemporaneous dependencies in graphical VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- Copaciu, Mihai & Nalban, Valeriu & Bulete, Cristian, 2015. "R.E.M. 2.0, An estimated DSGE model for Romania," Dynare Working Papers 48, CEPREMAP.
- Andersson, Michael K & Karlsson, Sune, 2007.
"Bayesian Forecast Combination for VAR Models,"
Working Papers
2007:13, Örebro University, School of Business.
- Michael K. Andersson & Sune Karlsson, 2008. "Bayesian forecast combination for VAR models," Advances in Econometrics, in: Bayesian Econometrics, pages 501-524, Emerald Group Publishing Limited.
- Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
Cited by:
- Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008.
"Combining Forecast Densities from VARs with Uncertain Instabilities,"
Reserve Bank of New Zealand Discussion Paper Series
DP2008/18, Reserve Bank of New Zealand.
- Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
- Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.
- Gary Koop, 2013.
"Using VARs and TVP-VARs with Many Macroeconomic Variables,"
Working Papers
1303, University of Strathclyde Business School, Department of Economics.
- Gary Koop, 2012. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(3), pages 143-167, September.
- Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
- Maik H. Wolters, 2015.
"Evaluating Point and Density Forecasts of DSGE Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, January.
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series 59, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
- Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
- Wolters, Maik H., 2011.
"Forecasting under Model Uncertainty,"
VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis
48723, Verein für Socialpolitik / German Economic Association.
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
- Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
- David Bolder & Yuliya Romanyuk, 2008.
"Combining Canadian Interest-Rate Forecasts,"
Staff Working Papers
08-34, Bank of Canada.
- David Jamieson Bolder & Yuliya Romanyuk, 2010. "Combining Canadian Interest Rate Forecasts," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30, Palgrave Macmillan.
- Anders Warne & Günter Coenen & Kai Christoffel, 2017.
"Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
- Christian Kascha & Francesco Ravazzolo, 2008.
"Combining inflation density forecasts,"
Working Paper
2008/22, Norges Bank.
- Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009.
"Does forecast combination improve Norges Bank inflation forecasts?,"
Working Paper
2009/01, Norges Bank.
- Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012. "Does Forecast Combination Improve Norges Bank Inflation Forecasts?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, April.
- Hilde C. Bj�rnland & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud & Christie Smith, 2010. "Does forecast combination improve Norges Bank inflation forecasts?," Working Papers No 2/2010, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Karlsson, Sune, 2012.
"Forecasting with Bayesian Vector Autoregressions,"
Working Papers
2012:12, Örebro University, School of Business.
- 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.
- Dimitris Korobilis, 2008.
"Forecasting in vector autoregressions with many predictors,"
Advances in Econometrics, in: Bayesian Econometrics, pages 403-431,
Emerald Group Publishing Limited.
- Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
- Markus Jochmann & Gary Koop & Rodney W. Strachan, 2008.
"Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks,"
Working Paper series
19_08, Rimini Centre for Economic Analysis.
- Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
- Dimitris Korobilis & Davide Pettenuzzo, 2017.
"Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions,"
Working Papers
115, Brandeis University, Department of Economics and International Business School.
- Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
- Dimitris Korobilis & Davide Pettenuzzo, 2018. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions," Working Paper series 18-21, Rimini Centre for Economic Analysis.
- Hugo Gerard & Kristoffer Nimark, 2008.
"Combining Multivariate Density Forecasts Using Predictive Criteria,"
RBA Research Discussion Papers
rdp2008-02, Reserve Bank of Australia.
- Hugo Gerard & Kristoffer Nimark, 2008. "Combining multivariate density forecasts using predictive criteria," Economics Working Papers 1117, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
- Dr. James Mitchell, 2009.
"Macro Modelling with Many Models,"
National Institute of Economic and Social Research (NIESR) Discussion Papers
337, National Institute of Economic and Social Research.
- Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey, 2009. "Macro modelling with many models," Working Paper 2009/15, Norges Bank.
- 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.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012.
"Was the Recent Downturn in US GDP Predictable?,"
Working papers
2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
- 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.
- Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
- Tomáš Jeřábek & Radka Šperková, 2015. "A Predictive Likelihood Approach to Bayesian Averaging," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1269-1276.
- Jakub Ryšánek, 2010. "Combining VAR Forecast Densities Using Fast Fourier Transform," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2010(5), pages 72-88.
- Karlsson, Sune & Lundin, Nannan & Sjöholm, Fredrik & He, Ping, 2007.
"FDI and Job Creation in China,"
Working Paper Series
723, Research Institute of Industrial Economics.
Cited by:
- Samuel Ajayi-Obe, 2020. "Key Determinants of Job Creation: A Comparative analysis between OECD Countries and Emerging Economies," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 619-647, December.
- Ramesh Chandra Das & Kamal Ray, 2022. "Linkages Between Employment and Net FDI Inflow: Insights from Individual as Well as Panel Data for Emerging South Asian Labour Market," Global Business Review, International Management Institute, vol. 23(3), pages 785-803, June.
- Njangang, Henri & Nembot Ndeffo, Luc & Noubissi Domguia, Edmond & Fosto Koyeu, Prevost, 2018. "The long-run and short-run effects of foreign direct investment, foreign aid and remittances on economic growth in African countries," MPRA Paper 89747, University Library of Munich, Germany.
- Simon Wong, Chak Keung & Gladys Liu, Fung Ching, 2011. "A study of pre-trip use of travel guidebooks by leisure travelers," Tourism Management, Elsevier, vol. 32(3), pages 616-628.
- Tung Son Ha & Vu Tuan Chu & Mai Tuyet Thi Nguyen & Dung Hoai Thi Nguyen & Anh Ngoc Thi Nguyen, 2021. "The impact of Greenfield investment on domestic entrepreneurship," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
- Tsai Chang-hsien, 2011. "International Jurisdictional Competition under Globalization: From the U.S. Regulation of Foreign Private Issuers to Taiwan's Restrictions on Outward Investment in Mainland China," Asian Journal of Law and Economics, De Gruyter, vol. 2(1), pages 1-102, April.
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"Computational Efficiency in Bayesian Model and Variable Selection,"
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"The Determinants of Economic Growth in European Regions,"
CESifo Working Paper Series
2519, CESifo.
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"An Embarrassment of Riches: Forecasting Using Large Panels,"
Working Papers
2007:1, Örebro University, School of Business.
- Jana Eklund & Sune Karlsson, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Economics wp34, Department of Economics, Central bank of Iceland.
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"Truths and myths about RMB misalignment: A meta-analysis,"
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3/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
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"Forecast Combination and Model Averaging Using Predictive Measures,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers 5268, C.E.P.R. Discussion Papers.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
- Hultblad, Brigitta & Karlsson, Sune, 2006.
"Bayesian simultaneous determination of structural breaks and lag lengths,"
SSE/EFI Working Paper Series in Economics and Finance
630, Stockholm School of Economics.
- Hultblad Brigitta & Karlsson Sune, 2008. "Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-29, September.
Cited by:
- Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
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"Forecast Combination and Model Averaging Using Predictive Measures,"
CEPR Discussion Papers
5268, C.E.P.R. Discussion Papers.
- Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
Cited by:
- Barbara Rossi, 2011.
"Advances in Forecasting Under Instability,"
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11-20, Duke University, Department of Economics.
- Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
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"Bayesian Forecast Combination for VAR Models,"
Working Papers
2007:13, Örebro University, School of Business.
- Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
- Michael K. Andersson & Sune Karlsson, 2008. "Bayesian forecast combination for VAR models," Advances in Econometrics, in: Bayesian Econometrics, pages 501-524, Emerald Group Publishing Limited.
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"Forecasting GDP Growth using Disaggregated GDP Revisions,"
Economics Bulletin, AccessEcon, vol. 39(4), pages 2580-2588.
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- Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation," Tinbergen Institute Discussion Papers 12-096/III, Tinbergen Institute.
- Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016. "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 39-61.
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"It's all about volatility of volatility: evidence from a two-factor stochastic volatility model,"
Studies in Economics
1404, School of Economics, University of Kent.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
- Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
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"Combining Forecast Densities from VARs with Uncertain Instabilities,"
Reserve Bank of New Zealand Discussion Paper Series
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- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019.
"Another Look at Calendar Anomalies,"
Discussion Paper Series
2019_02, Department of Economics, University of Macedonia, revised Feb 2019.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Working Paper series 19-07, Rimini Centre for Economic Analysis.
- Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
- Maik H. Wolters, 2015.
"Evaluating Point and Density Forecasts of DSGE Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, January.
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series 59, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
- Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
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"Forecasting under Model Uncertainty,"
VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis
48723, Verein für Socialpolitik / German Economic Association.
- Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
- Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
- Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
- Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014.
"Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
- Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
- Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank.
- Gelper, Sarah & Stremersch, Stefan, 2014. "Variable selection in international diffusion models," International Journal of Research in Marketing, Elsevier, vol. 31(4), pages 356-367.
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"Combining Canadian Interest-Rate Forecasts,"
Staff Working Papers
08-34, Bank of Canada.
- David Jamieson Bolder & Yuliya Romanyuk, 2010. "Combining Canadian Interest Rate Forecasts," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30, Palgrave Macmillan.
- Anders Warne & Günter Coenen & Kai Christoffel, 2017.
"Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
- Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
- Anastasia Dimiski, 2020. "Factors that affect Students’ performance in Science: An application using Gini-BMA methodology in PISA 2015 dataset," Working Papers 2004, University of Guelph, Department of Economics and Finance.
- Eliana González, 2010.
"Bayesian Model Averaging. An Application to Forecast Inflation in Colombia,"
Borradores de Economia
7015, Banco de la Republica.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7014, Banco de la Republica.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7013, Banco de la Republica.
- Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
- John M. Maheu & Thomas H. McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution?,"
Working Paper series
19_07, Rimini Centre for Economic Analysis.
- John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
- Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
- Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014.
"Measuring output gap nowcast uncertainty,"
International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
- Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis, 2019. "Predictive blends: Fundamental Indexing meets Markowitz," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 28-42.
- Todd E. Clark & Michael W. McCracken, 2007.
"Averaging forecasts from VARs with uncertain instabilities,"
Finance and Economics Discussion Series
2007-42, Board of Governors of the Federal Reserve System (U.S.).
- Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
- Todd E. Clark & Michael W. McCracken, 2008. "Averaging forecasts from VARs with uncertain instabilities," Working Papers 2008-030, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29, January.
- Todd E. Clark & Michael W. McCracken, 2006. "Averaging forecasts from VARs with uncertain instabilities," Research Working Paper RWP 06-12, Federal Reserve Bank of Kansas City.
- George Kapetanios & Vincent Labhard & Simon Price, 2006.
"Forecasting Using Predictive Likelihood Model Averaging,"
Working Papers
567, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Labhard, Vincent & Price, Simon, 2006. "Forecasting using predictive likelihood model averaging," Economics Letters, Elsevier, vol. 91(3), pages 373-379, June.
- Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
- David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010.
"A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood,"
Tinbergen Institute Discussion Papers
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- Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012. "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3398-3414.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016.
"Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates,"
Economic Systems, Elsevier, vol. 40(3), pages 387-397.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 853, Banco de la Republica de Colombia.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, Department of Economics and Business Economics, Aarhus University.
- Jana Eklund & George Kapetanios, 2008.
"A Review of Forecasting Techniques for Large Data Sets,"
Working Papers
625, Queen Mary University of London, School of Economics and Finance.
- Jana Eklund & George Kapetanios, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203(1), pages 109-115, January.
- Eklund, Jana & Kapetanios, George, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203, pages 109-115, January.
- Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud, 2010.
"Weights and pools for a Norwegian density combination,"
Working Paper
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- Bjørnland, Hilde C. & Gerdrup, Karsten & Jore, Anne Sofie & Smith, Christie & Thorsrud, Leif Anders, 2011. "Weights and pools for a Norwegian density combination," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 61-76, January.
- Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012.
"A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation,"
Tinbergen Institute Discussion Papers
12-026/4, Tinbergen Institute.
- Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
- Bec, Frédérique & Mogliani, Matteo, 2015.
"Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
- Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
- Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers 436, Banque de France.
- Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2015.
"The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference,"
Tinbergen Institute Discussion Papers
15-042/III, Tinbergen Institute, revised 04 Jul 2017.
- Baştürk, Nalan & Grassi, Stefano & Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2017. "The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 79(i01).
- Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2017. "The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference," Working Paper 2017/10, Norges Bank.
- Baştürk, N. & Grassi, S. & Hoogerheide, L. & Opschoor, A. & van Dijk, H.K., 2015. "The R package MitISEM : efficient and robust simulation procedures for Bayesian inference," Research Memorandum 011, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
- Hugo Gerard & Kristoffer Nimark, 2008.
"Combining Multivariate Density Forecasts Using Predictive Criteria,"
RBA Research Discussion Papers
rdp2008-02, Reserve Bank of Australia.
- Hugo Gerard & Kristoffer Nimark, 2008. "Combining multivariate density forecasts using predictive criteria," Economics Working Papers 1117, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
- Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.
- Mark F. J. Steel, 2020.
"Model Averaging and Its Use in Economics,"
Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.
- Baihua He & Yanyan Liu & Guosheng Yin & Yuanshan Wu, 2023. "Model aggregation for doubly divided data with large size and large dimension," Computational Statistics, Springer, vol. 38(1), pages 509-529, March.
- Chun Liu & John M Maheu, 2008.
"Forecasting Realized Volatility: A Bayesian Model Averaging Approach,"
Working Papers
tecipa-313, University of Toronto, Department of Economics.
- Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
- Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
- Kim, Dongwhan & Kang, Kyu Ho, 2021. "Conditional value-at-risk forecasts of an optimal foreign currency portfolio," International Journal of Forecasting, Elsevier, vol. 37(2), pages 838-861.
- Kapetanios, G. & Labhard, V. & Price, S., 2007.
"Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation,"
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07/15, Department of Economics, City University London.
- George Kapetanios & Vincent Labhard & Simon Price, 2006. "Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation," Working Papers 566, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Vincent Labhard & Simon Price, 2005. "Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation," Bank of England working papers 268, Bank of England.
- Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 33-41, January.
- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009.
"Real-time Inflation Forecast Densities from Ensemble Phillips Curves,"
Birkbeck Working Papers in Economics and Finance
0910, Birkbeck, Department of Economics, Mathematics & Statistics.
- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
- Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
- Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014.
"Forecasting with the Standardized Self-Perturbed Kalman Filter,"
CREATES Research Papers
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- Stefano Grassi & Nima Nonejad & Paolo Santucci De Magistris, 2017. "Forecasting With the Standardized Self‐Perturbed Kalman Filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 318-341, March.
- Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics 1405, School of Economics, University of Kent.
- Arnold Zellner & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2011. "Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo," Tinbergen Institute Discussion Papers 11-137/4, Tinbergen Institute.
- Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011.
"Combining VAR and DSGE forecast densities,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
- Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
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"Forecasting copper prices with dynamic averaging and selection models,"
The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
- Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
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- Chris McDonald & Leif Anders Thorsrud, 2011. "Evaluating density forecasts: model combination strategies versus the RBNZ," Reserve Bank of New Zealand Discussion Paper Series DP2011/03, Reserve Bank of New Zealand.
- Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
- De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006.
"Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information,"
MPRA Paper
2512, University Library of Munich, Germany, revised 03 Mar 2007.
- Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
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- Erengul Dodd & Jonathan J. Forster & Jakub Bijak & Peter W. F. Smith, 2018. "Smoothing mortality data: the English Life Tables, 2010–2012," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 717-735, June.
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"Seasonality, Cycles and Unit Roots,"
Econometric Society 2004 Australasian Meetings
268, Econometric Society.
Cited by:
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007.
"A simple, robust and powerful test of the trend hypothesis,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.
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- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007.
"A simple, robust and powerful test of the trend hypothesis,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.
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"Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach,"
SSE/EFI Working Paper Series in Economics and Finance
524, Stockholm School of Economics, revised 12 Feb 2004.
Cited by:
- Patrick Mumo Muinde & James Mwangi Karanja, 2017. "Kenya Commercial Banks are Star Performers: Myth or Truth? Exploratory Empirical Evidence from Nairobi Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 340-350.
- Muinde Patrick Mumo, 2017. "The Determinants of Stock Returns in the Emerging Market of Kenya: An Empirical Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 8-21, September.
- Jacobson, Tor & Karlsson, Sune, 2002.
"Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach,"
Working Paper Series
138, Sveriges Riksbank (Central Bank of Sweden).
- Sune Karlsson & Tor Jacobson, 2004. "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 479-496.
Cited by:
- Andersson, Michael K & Karlsson, Sune, 2007.
"Bayesian Forecast Combination for VAR Models,"
Working Papers
2007:13, Örebro University, School of Business.
- Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
- Michael K. Andersson & Sune Karlsson, 2008. "Bayesian forecast combination for VAR models," Advances in Econometrics, in: Bayesian Econometrics, pages 501-524, Emerald Group Publishing Limited.
- Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Discussion Paper 2012-043, Tilburg University, Center for Economic Research.
- Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank.
- 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.
- 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, 2015. "Bayesian VARs: Specification Choices and Forecast Accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, January.
- Oxana Babetskaia-Kukharchuk, 2007.
"Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic,"
Working Papers
2007/12, Czech National Bank.
- Oxana Babecká-Kucharèuková, 2009. "Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(2), pages 137-152, June.
- Christian Kascha & Francesco Ravazzolo, 2008.
"Combining inflation density forecasts,"
Working Paper
2008/22, Norges Bank.
- Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
- Eliana González, 2010.
"Bayesian Model Averaging. An Application to Forecast Inflation in Colombia,"
Borradores de Economia
7015, Banco de la Republica.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7014, Banco de la Republica.
- Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7013, Banco de la Republica.
- Aiolfi Marco & Capistrán Carlos & Timmermann Allan, 2010.
"Forecast Combinations,"
Working Papers
2010-04, Banco de México.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
- Timmermann, Allan, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
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"Forecast Combination with Entry and Exit of Experts,"
Working Papers
2006-08, Banco de México.
- Capistrán, Carlos & Timmermann, Allan, 2009. "Forecast Combination With Entry and Exit of Experts," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 428-440.
- Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
- Thomas Brenner & Claudia Werker, 2007. "A Taxonomy of Inference in Simulation Models," Computational Economics, Springer;Society for Computational Economics, vol. 30(3), pages 227-244, October.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011.
"Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates,"
Working Papers in Economics
11/03, University of Canterbury, Department of Economics and Finance.
- Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2013. "Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 269-296, April.
- Peter J. Danaher & Michael S. Smith, 2011. "Rejoinder--Estimation Issues for Copulas Applied to Marketing Data," Marketing Science, INFORMS, vol. 30(1), pages 25-28, 01-02.
- Todd E. Clark & Michael W. McCracken, 2009.
"Combining Forecasts from Nested Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
- Todd E. Clark & Michael W. McCracken, 2007. "Combining forecasts from nested models," Finance and Economics Discussion Series 2007-43, Board of Governors of the Federal Reserve System (U.S.).
- Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
- Jan R. Magnus & Wendun Wang & Xinyu Zhang, 2016. "Weighted-Average Least Squares Prediction," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1040-1074, June.
- Jana Eklund & Sune Karlsson, 2007.
"An Embarrassment of Riches: Forecasting Using Large Panels,"
Economics
wp34, Department of Economics, Central bank of Iceland.
- Eklund, Jana & Karlsson, Sune, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Working Papers 2007:1, Örebro University, School of Business.
- Mr. Alin T Mirestean & Mr. Charalambos G Tsangarides & Huigang Chen, 2009. "Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods," IMF Working Papers 2009/074, International Monetary Fund.
- Tumala, Mohammed M & Olubusoye, Olusanya E & Yaaba, Baba N & Yaya, OlaOluwa S & Akanbi, Olawale B, 2017. "Investigating Predictors of Inflation in Nigeria: BMA and WALS Techniques," MPRA Paper 88773, University Library of Munich, Germany, revised Feb 2018.
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"Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
- Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
- Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers 436, Banque de France.
- Chun Liu & John M Maheu, 2008.
"Forecasting Realized Volatility: A Bayesian Model Averaging Approach,"
Working Papers
tecipa-313, University of Toronto, Department of Economics.
- Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
- Cogley, Timothy & de Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011.
"A Bayesian approach to optimal monetary policy with parameter and model uncertainty,"
Bank of England working papers
414, Bank of England.
- Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
- Wen-Hsien Liu & Shu-Shih Weng, 2018. "On predicting the semiconductor industry cycle: a Bayesian model averaging approach," Empirical Economics, Springer, vol. 54(2), pages 673-703, March.
- Ebersberger, Bernd & Galia, Fabrice & Laursen, Keld & Salter, Ammon, 2021. "Inbound Open Innovation and Innovation Performance: A Robustness Study," Research Policy, Elsevier, vol. 50(7).
- Kapetanios, George & Labhard, Vincent & Price, Simon, 2008.
"Forecast combination and the Bank of England's suite of statistical forecasting models,"
Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
- George Kapetanios & Vincent Labhard & Simon Price, 2007. "Forecast combination and the Bank of England’s suite of statistical forecasting models," Bank of England working papers 323, Bank of England.
- Jana Eklund & Sune Karlsson, 2007.
"Forecast Combination and Model Averaging Using Predictive Measures,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers 5268, C.E.P.R. Discussion Papers.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
- John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
- Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
- Jana Eklund & Sune Karlsson, 2007.
"Computational Efficiency in Bayesian Model and Variable Selection,"
Economics
wp35, Department of Economics, Central bank of Iceland.
- Eklund, Jana & Karlsson, Sune, 2007. "Computational Efficiency in Bayesian Model and Variable Selection," Working Papers 2007:4, Örebro University, School of Business.
- Miguel A. Negrín & Francisco J. Vázquez-Polo & María Martel & Elías Moreno & Francisco J. Girón, 2010. "Bayesian Variable Selection in Cost-Effectiveness Analysis," IJERPH, MDPI, vol. 7(4), pages 1-20, April.
- Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Other publications TiSEM 7715e942-b446-4985-8216-f, Tilburg University, School of Economics and Management.
- Huigang Chen & Mr. Alin T Mirestean & Mr. Charalambos G Tsangarides, 2011. "Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model," IMF Working Papers 2011/230, International Monetary Fund.
- Skoglund, Jimmy & Karlsson, Sune, 2001.
"Specification and estimation of random effects models with serial correlation of general form,"
SSE/EFI Working Paper Series in Economics and Finance
0433, Stockholm School of Economics.
Cited by:
- Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
- Sune Karlsson & Jimmy Skoglund, 2000.
"Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects,"
Econometric Society World Congress 2000 Contributed Papers
1178, Econometric Society.
- Sune Karlsson & Jimmy Skoglund, 2004. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," Empirical Economics, Springer, vol. 29(1), pages 79-88, January.
- Karlsson, Sune & Skoglund, Jimmy, 2000. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," SSE/EFI Working Paper Series in Economics and Finance 383, Stockholm School of Economics.
Cited by:
- Giorgio Calzolari & Laura Magazzini, 2009.
"Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood,"
Working Papers
53/2009, University of Verona, Department of Economics.
- Giorgio Calzolari & Laura Magazzini, 2012. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Empirical Economics, Springer, vol. 43(1), pages 145-152, August.
- Robert F. Phillips, 2012. "On computing generalized least squares and maximum-likelihood estimates of error-components models with incomplete panels and correlated disturbances," Economics Bulletin, AccessEcon, vol. 32(4), pages 3017-3024.
- Pardo Martínez, Clara Inés & Silveira, Semida, 2012. "Analysis of energy use and CO2 emission in service industries: Evidence from Sweden," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(7), pages 5285-5294.
- Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
- Olivier Armantier & Oliver Richard, 2008. "Domestic airline alliances and consumer welfare," RAND Journal of Economics, RAND Corporation, vol. 39(3), pages 875-904, September.
- Baltagi, Badi H., 2006.
"Forecasting with panel data,"
Discussion Paper Series 1: Economic Studies
2006,25, Deutsche Bundesbank.
- Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
- Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University.
- Jimmy Skoglund & Sune Karlsson, 2002. "Asymptotics for random effects models with serial correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-1, International Conferences on Panel Data.
- Marcel die Dama & Boniface ngah Epo & Galex syrie Soh, 2013. "Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data," Economics Bulletin, AccessEcon, vol. 33(1), pages 625-634.
- Pardo Martínez, Clara Inés, 2013. "An analysis of eco-efficiency in energy use and CO2 emissions in the Swedish service industries," Socio-Economic Planning Sciences, Elsevier, vol. 47(2), pages 120-130.
- Rendao Ye & Ya Lin, 2023. "Relationship Between Interest Rate and Risk of P2P Lending in China Based on the Skew-Normal Panel Data Model," SAGE Open, , vol. 13(4), pages 21582440231, October.
- Andersson, Michael K. & Karlsson, Sune, 1999.
"Bootstrapping Error Component Models,"
SSE/EFI Working Paper Series in Economics and Finance
304, Stockholm School of Economics, revised 30 Jun 2000.
- Michael K. Andersson & Sune Karlsson, 2001. "Bootstrapping Error Component Models," Computational Statistics, Springer, vol. 16(2), pages 221-231, July.
Cited by:
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2023.
"Robust dynamic space-time panel data models using ?-contamination: An application to crop yields and climate change,"
CIRANO Working Papers
2023s-01, CIRANO.
- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2022. "Robust Dynamic Space-Time Panel Data Models Using ?-Contamination: An Application to Crop Yields and Climate Change," IZA Discussion Papers 15815, Institute of Labor Economics (IZA).
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2022. "Robust Dynamic Space-Time Panel Data Models Using ε-contamination: An Application to Crop Yields and Climate Change," Center for Policy Research Working Papers 254, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2017.
"Robust Linear Static Panel Data Models Using ε-Contamination,"
Center for Policy Research Working Papers
208, Center for Policy Research, Maxwell School, Syracuse University.
- Guy Lacroix & Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi, 2015. "Robust linear static panel data models using ?-contamination," CIRANO Working Papers 2015s-30, CIRANO.
- Badi H. Baltagia & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2017. "Robust linear static panel data models using e-contamination," Cahiers de recherche 1706, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2014. "Robust Linear Static Panel Data Models Using ?-Contamination," IZA Discussion Papers 8661, Institute of Labor Economics (IZA).
- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2018. "Robust linear static panel data models using ε-contamination," Journal of Econometrics, Elsevier, vol. 202(1), pages 108-123.
- Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
- Karlsson, Sune & Löthgren, Mickael, 1999.
"On the power and interpretation of panel unit root tests,"
SSE/EFI Working Paper Series in Economics and Finance
299, Stockholm School of Economics.
- Karlsson, Sune & Lothgren, Mickael, 2000. "On the power and interpretation of panel unit root tests," Economics Letters, Elsevier, vol. 66(3), pages 249-255, March.
Cited by:
- Paresh Kumar Narayan & Russell Smyth, 2005.
"Are Shocks To Energy Consumption Permanent Or Temporary? Evidence From 182 Countries,"
Monash Economics Working Papers
06/05, Monash University, Department of Economics.
- Kumar Narayan, Paresh & Smyth, Russell, 2007. "Are shocks to energy consumption permanent or temporary? Evidence from 182 countries," Energy Policy, Elsevier, vol. 35(1), pages 333-341, January.
- Lee, Chien-Chiang & Lee, Jun-De, 2009. "Income and CO2 emissions: Evidence from panel unit root and cointegration tests," Energy Policy, Elsevier, vol. 37(2), pages 413-423, February.
- Carlos USABIAGA & Diego ROMERO-ÁVILA, 2008.
"The Hypothesis of a Unit Root in OECD Inflation Revisited,"
EcoMod2008
23800146, EcoMod.
- Romero-Ávila, Diego & Usabiaga, Carlos, 2009. "The hypothesis of a unit root in OECD inflation revisited," Journal of Economics and Business, Elsevier, vol. 61(2), pages 153-161.
- R. Pala & E. Marrocu & R. Paci, 2000. "Estimation of total factor productivity for regions and sectors in Italy. A panel cointegration approach," Working Paper CRENoS 200016, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Xuguang Sheng & Jingyun Yang, 2013.
"Truncated Product Methods for Panel Unit Root Tests,"
Working Papers
2013-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Xuguang Sheng & Jingyun Yang, 2013. "Truncated Product Methods for Panel Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 624-636, August.
- Marcelo Mello & Roberto Guimaraes-Filho, 2007. "A note on fractional stochastic convergence," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-14.
- Gu, Jianqiang & Yue, Xiao-Guang & Nosheen, Safia & Naveed -ul-Haq, & Shi, Lei, 2022. "Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc," Resources Policy, Elsevier, vol. 76(C).
- Hooi Hooi Lean & Russell Smyth, 2012.
"Will policies to promote renewable electricity generation be effective? Evidence from panel stationarity and unit root tests for 115 countries,"
Monash Economics Working Papers
15-12, Monash University, Department of Economics.
- Lean, Hooi Hooi & Smyth, Russell, 2013. "Will policies to promote renewable electricity generation be effective? Evidence from panel stationarity and unit root tests for 115 countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 22(C), pages 371-379.
- Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, vol. 30(3), pages 919-936, May.
- Florian Verheyen, 2015. "The role of non-price determinants for export demand," International Economics and Economic Policy, Springer, vol. 12(1), pages 107-125, March.
- Lanzafame, Matteo, 2012.
"Current account sustainability in advanced economies,"
MPRA Paper
42384, University Library of Munich, Germany.
- Matteo Lanzafame, 2014. "Current account sustainability in advanced economies," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(7), pages 1000-1017, October.
- Raffaello Bronzini & Paolo Piselli, 2006. "Determinants of long-run regional productivity: the role of R&D, human capital and public infrastructure," Temi di discussione (Economic working papers) 597, Bank of Italy, Economic Research and International Relations Area.
- Mika Kortelainen & Simo Leppänen, 2013. "Public and private capital productivity in Russia: a non-parametric investigation," Empirical Economics, Springer, vol. 45(1), pages 193-216, August.
- Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 235-268, April.
- Jaunky, Vishal Chandr, 2013. "A cointegration and causality analysis of copper consumption and economic growth in rich countries," Resources Policy, Elsevier, vol. 38(4), pages 628-639.
- Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
- Qaiser Munir & Sook Ching Kok & Kasim Mansur, 2019. "External Shocks, Structural Breaks And Unemployment Hysteresis In Selected Asian Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 575-600, June.
- Chletsos Michael & Roupakias Stelios, 2020. "The effect of military spending on income inequality: evidence from NATO countries," Empirical Economics, Springer, vol. 58(3), pages 1305-1337, March.
- Matteo Lanzafame, 2014.
"The balance of payments-constrained growth rate and the natural rate of growth: new empirical evidence,"
Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 38(4), pages 817-838.
- Lanzafame, Matteo, 2011. "The balance of payments constrained growth rate and the natural rate of growth: new empirical evidence," MPRA Paper 33130, University Library of Munich, Germany.
- Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi & Lau, Evan, 2005.
"Real Financial Integration among the East Asian Economies: A SURADF Panel Approach,"
MPRA Paper
2021, University Library of Munich, Germany, revised Feb 2007.
- Chan Tze-Haw & Ahmad Zubaidi Baharumshah & Evan Lau, 2007. "Real Financial Integration among the East Asian Economies: A SURADF Panel Approach," Capital Markets Review, Malaysian Finance Association, vol. 15(1&2), pages 53-71.
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"External Balance Adjustment: An Intra-National and International Comparison,"
Working Papers
2011-13, University of Alberta, Department of Economics.
- Smith, Constance E., 2011. "External balance adjustment: An intra-national and international comparison," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1195-1213, October.
- Lau, Evan & Baharumshah, Ahmad Zubaidi & Haw, Chan Tze, 2006. "Current account: mean-reverting or random walk behavior?," Japan and the World Economy, Elsevier, vol. 18(1), pages 90-107, January.
- Mishra, Vinod & Smyth, Russell, 2010. "Female labor force participation and total fertility rates in the OECD: New evidence from panel cointegration and Granger causality testing," Journal of Economics and Business, Elsevier, vol. 62(1), pages 48-64, January.
- Ashworth, Paul & Byrne, Joseph P., 2003. "Some international evidence on price determination: a non-stationary panel approach," Economic Modelling, Elsevier, vol. 20(4), pages 809-838, July.
- Jaunky, Vishal Chandr, 2013. "Are Shocks To Aluminium Consumption Transitory Or Permanent?," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 9(1-2), January.
- Tuomas Malinen, 2012. "Estimating the long-run relationship between income inequality and economic development," Empirical Economics, Springer, vol. 42(1), pages 209-233, February.
- Gerdie Everaert & Hauke Vierke, 2016.
"Demographics and Business Cycle Volatility: A Spurious Relationship?,"
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- Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
- Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
- Nilavongse, Rachatar & Rubaszek, Michał, & Uddin, Gazi Salah, 2020. "Economic policy uncertainty shocks, economic activity, and exchange rate adjustments," Economics Letters, Elsevier, vol. 186(C).
- Dahem, Ahlem, 2015. "Short term Bayesian inflation forecasting for Tunisia," MPRA Paper 66702, University Library of Munich, Germany.
- Rey, Hélène & Miranda-Agrippino, Silvia, 2015. "World Asset Markets and the Global Financial Cycle," CEPR Discussion Papers 10936, C.E.P.R. Discussion Papers.
- 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.
- Ajax R. B. Moreira & Dani Gamerman, 2015. "Bayesian Analysis of Econometric Time Series Models Using Hybrid Integration Rules," Discussion Papers 0105, Instituto de Pesquisa Econômica Aplicada - IPEA.
- 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.
- Eduardo Loría Díaz & Emmanuel Gerardo Salas, 2019. "La relación entre robo y desempleo de varones jóvenes en México, 2005-2017," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 433-446, Julio - S.
- Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
- Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolas Moreno-Arias & Sara Naranjo-Saldarriaga, 2022. "Unravelling the Narratives Behind Macroeconomic Forecasts," IHEID Working Papers 18-2022, Economics Section, The Graduate Institute of International Studies.
- Shirota, Toyoichiro, 2017. "Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices," Discussion paper series. A 311, Graduate School of Economics and Business Administration, Hokkaido University.
- Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Consolo, Agostino & Foroni, Claudia & Martínez Hernández, Catalina, 2021. "A mixed frequency BVAR for the euro area labour market," Working Paper Series 2601, European Central Bank.
- Breitenlechner, Max & Gründler, Daniel & Scharler, Johann, 2021. "Unconventional monetary policy announcements and information shocks in the U.S," Journal of Macroeconomics, Elsevier, vol. 67(C).
- Haroon Mumtaz & Francesco Zanetti, 2012. "Neutral Technology Shocks And The Dynamics Of Labor Input: Results From An Agnostic Identification," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(1), pages 235-254, February.
- Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
- Shevelev A.A., 2017. "Bayesian approach to evaluate the impact of external shocks on Russian macroeconomics indicators," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 17(1), pages 26-40.
- Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
- Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," Working Papers hal-04141032, HAL.
- 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.
- Antonio Pesce, 2013. "Is Decoupling in action?," ERSA conference papers ersa13p1252, European Regional Science Association.
- Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
- 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.
- Pestova, Anna (Пестова, Анна) & Mamonov, Mikhail (Мамонов, Михаил), 2016. "Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy [Оценка Влияния Различных Шоков На Д," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 56-92, August.
- 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.
- Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.
- 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.
- Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "Technical appendix to: a new look at variation in employment growth in Canada," Working Papers 26145533, Lancaster University Management School, Economics Department.
- Carolyn Njenga & Michael Sherris, 2011. "Modeling Mortality with a Bayesian Vector Autoregression," Working Papers 201105, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
- Geiger, Martin & Gründler, Daniel & Scharler, Johann, 2023. "Monetary policy shocks and consumer expectations in the euro area," Journal of International Economics, Elsevier, vol. 140(C).
- John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," FRB Atlanta Working Paper 99-13, Federal Reserve Bank of Atlanta.
- Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.
- Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
- Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
- Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
- Kadiyala, K.R. & Karlsson, L.S., 1989.
"Forecasting With Bayesian Vector Autoregressions,"
Purdue University Economics Working Papers
962, Purdue University, Department of Economics.
Cited by:
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019.
"Potential Growth and Natural Yield Curve in Japan,"
Working Papers
halshs-02091035, HAL.
- Dufrénot, Gilles & Rhouzlane, Meryem & Vaccaro-Grange, Etienne, 2022. "Potential growth and natural yield curve in Japan," Journal of International Money and Finance, Elsevier, vol. 124(C).
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019. "Potential Growth and Natural Yield Curve in Japan," AMSE Working Papers 1912, Aix-Marseille School of Economics, France.
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2022. "Potential growth and natural yield curve in Japan," Post-Print hal-03680259, HAL.
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019.
"Potential Growth and Natural Yield Curve in Japan,"
Working Papers
halshs-02091035, HAL.
Articles
- 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.
See citations under working paper version above.
- Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
- 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).
See citations under working paper version above.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Karlsson, Sune & Österholm, Pär, 2020.
"A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States,"
Economics Letters, Elsevier, vol. 197(C).
Cited by:
- Claudia Foroni & Francesco Furlanetto, 2022.
"Explaining Deviations from Okun’s Law,"
Working Paper
2022/4, Norges Bank.
- Foroni, Claudia & Furlanetto, Francesco, 2022. "Explaining deviations from Okun’s law," Working Paper Series 2699, European Central Bank.
- Foroni, Claudia & Furlanetto, Francesco, 2022. "Explaining Deviations from Okun's Law," CEPR Discussion Papers 17369, C.E.P.R. Discussion Papers.
- Samuel Tabot Enow, 2022. "Modelling Stock Market Prices Using the Open, High and Closes Prices. Evidence from International Financial Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 52-59, December.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022.
"Modelling Okun’s Law – Does non-Gaussianity Matter?,"
Working Papers
2022:1, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Helge Berger & Sune Karlsson & Pär Österholm, 2023.
"A note of caution on the relation between money growth and inflation,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(5), pages 479-496, November.
- Mr. Helge Berger & Sune Karlsson & Pär Österholm, 2023. "A Note of Caution on the Relation Between Money Growth and Inflation," IMF Working Papers 2023/137, International Monetary Fund.
- Berger, Helge & Karlsson, Sune & Österholm, Pär, 2023. "A Note of Caution on the Relation between Money Growth and Inflation," Working Papers 2023:9, Örebro University, School of Business.
- Edvinsson, Rodney & Karlsson, Sune & Österholm, Pär, 2023. "Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data," Working Papers 2023:3, Örebro University, School of Business.
- Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
- Claudia Foroni & Francesco Furlanetto, 2022.
"Explaining Deviations from Okun’s Law,"
Working Paper
2022/4, Norges Bank.
- Sune Karlsson & Pär Österholm, 2020.
"A note on the stability of the Swedish Phillips curve,"
Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
See citations under working paper version above.
- Karlsson, Sune & Österholm, Pär, 2018. "A Note on the Stability of the Swedish Philips Curve," Working Papers 2018:6, Örebro University, School of Business.
- Karlsson, Sune & Österholm, Pär, 2020.
"The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?,"
Economics Letters, Elsevier, vol. 186(C).
See citations under working paper version above.
- Karlsson, Sune & Österholm, Pär, 2019. "The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?," Working Papers 2019:7, Örebro University, School of Business.
- Sune Karlsson & Nannan Lundin & Fredrik Sjöholm & Ping He, 2009.
"Foreign Firms and Chinese Employment,"
The World Economy, Wiley Blackwell, vol. 32(1), pages 178-201, January.
Cited by:
- Salim, Ruhul & Yao, Yao & Chen, George & Zhang, Lin, 2017. "Can foreign direct investment harness energy consumption in China? A time series investigation," Energy Economics, Elsevier, vol. 66(C), pages 43-53.
- Baumberg, Ben & Jones, Melanie & Wass, Victoria, 2015. "Disability prevalence and disability-related employment gaps in the UK 1998–2012: Different trends in different surveys?," Social Science & Medicine, Elsevier, vol. 141(C), pages 72-81.
- Antonio Martuscelli & Michael Gasiorek, 2019. "Regional Integration And Poverty: A Review Of The Transmission Channels And The Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 431-457, April.
- Fredrik Sjöholm & Nannan Lundin, 2013. "Foreign Firms and Indigenous Technology Development in the People's Republic of China," Asian Development Review, MIT Press, vol. 30(2), pages 49-75, September.
- Sanjaya Kumar Malik, 2019. "Foreign Direct Investment and Employment in Indian Manufacturing Industries," The Indian Journal of Labour Economics, Springer;The Indian Society of Labour Economics (ISLE), vol. 62(4), pages 621-637, December.
- Michael I. Magcamit & Alexander C. Tan, 2016. "East and South China Seas Maritime Dispute Resolution and Escalation: Two Sides of the Same Coin?," Journal of Asian Security and International Affairs, , vol. 3(2), pages 113-134, August.
- Jingjing Huang & Yuan Zhong & Yabin Zhang, 2023. "Does Environmental Regulation of Cleaner Production Affect the Position of Enterprises in Global Value Chains? A Quasi-Natural Experiment Based on the Implementation of Cleaner Production," Sustainability, MDPI, vol. 15(13), pages 1-29, July.
- Chun, Sun Eae & Nagano, Mamoru & Lee, Min Hwan, 2010.
"Ownership Structure and Risk-taking Behavior: Evidence from Banks in Korea and Japan,"
MPRA Paper
25334, University Library of Munich, Germany.
- Sun Eae Chun & Mamoru Nagano & Min Hwan Lee, 2011. "Ownership Structure and Risk‐taking Behavior: Evidence from Banks in Korea and Japan," Asian Economic Journal, East Asian Economic Association, vol. 25(2), pages 151-175, June.
- Abdulmohsen Alfalih, Abdullah & Bel Hadj, Tarek, 2021. "Asymmetric effects of foreign direct investment on employment in an oil producing country: Do human capital, institutions and oil rents matter?," Resources Policy, Elsevier, vol. 70(C).
- Talla Fokam, Dieu Ne Dort & Kamga, Benjamin Fomba & Nchofoung, Tii N., 2023. "Information and communication technologies and employment in developing countries: Effects and transmission channels," Telecommunications Policy, Elsevier, vol. 47(8).
- Wannaphong Durongkaveroj, 2018. "BOOK REVIEW: “Global Inequality: A New Approach for the Age of Globalization”," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(03), pages 793-797, June.
- Dalgıç, Başak & Fazlıoğlu, Burcu & Varol İyidoğan, Pelin, 2016. "Doğrudan Yabancı Yatırımlar Kadın İstihdamını Artırır mı? Türkiye’de Hizmetler Sektörüne Yakından Bakış [Does Foreign Direct Investment Bring Jobs to Women? A Closer Look to Turkish Services Indust," MPRA Paper 70790, University Library of Munich, Germany.
- Wang, Feicheng & Liang, Zhe & Lehmann, Hartmut, 2021.
"Import competition and informal employment: Empirical evidence from China,"
University of Göttingen Working Papers in Economics
426, University of Goettingen, Department of Economics.
- Wang, Feicheng & Liang, Zhe & Lehmann, Hartmut, 2021. "Import Competition and Informal Employment: Empirical Evidence from China," IZA Discussion Papers 14650, Institute of Labor Economics (IZA).
- Hao Wang & Jan Fidrmuc & Yunhua Tian, 2018.
"Growing Against the Background of Colonization? Chinese Labor Market and FDI in a Historical Perspective,"
CESifo Working Paper Series
7093, CESifo.
- Wang, Hao & Fidrmuc, Jan & Tian, Yunhua, 2018. "Growing against the background of colonization? Chinese labor market and FDI in a historical perspective," BOFIT Discussion Papers 14/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
- Hao Wang & Jan Fidrmuc & Yunhua Tian, 2020. "Growing against the background of colonization? Chinese labor market and FDI in a historical perspective," Post-Print hal-03128958, HAL.
- Wang, Hao & Fidrmuc, Jan & Tian, Yunhua, 2020. "Growing against the background of colonization? Chinese labor market and FDI in a historical perspective," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 1018-1031.
- Yichao Liu & Sunwei Li & Qian Yi & Daoyi Chen, 2017. "Wind Profiles and Wave Spectra for Potential Wind Farms in South China Sea. Part II: Wave Spectrum Model," Energies, MDPI, vol. 10(1), pages 1-24, January.
- Adam P. Balcerzak & Miroslawa Zurek, 2011. "Foreign Direct Investment and Unemployment: VAR Analysis for Poland in the Years 1995-2009," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 3-14.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Laura Diaconu (Maxim) & Cristian Constantin Popescu & Andrei Maxim, 2020. "Challenges for China’s Sustainable Growth," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(1), pages 117-137, March.
- Celeste Varum & Vera Rocha, 2013. "Employment and SMEs during crises," Small Business Economics, Springer, vol. 40(1), pages 9-25, January.
- Baixue Yu & Geng Niu & Jingjing Ye & Wen‐wen Zhang, 2023. "Human capital agglomeration, institutional barriers, and internal migration in China," Growth and Change, Wiley Blackwell, vol. 54(1), pages 284-303, March.
- Varum, Celeste Amorim & Rocha, Vera Catarina Barros, 2011. "Do foreign and domestic firms behave any different during economic slowdowns?," International Business Review, Elsevier, vol. 20(1), pages 48-59, February.
- Mutascu, Mihai, 2021.
"Artificial intelligence and unemployment: New insights,"
Economic Analysis and Policy, Elsevier, vol. 69(C), pages 653-667.
- Mihai Mutascu, 2021. "Artificial intelligence and unemployment: New insights," Post-Print hal-03528263, HAL.
- Keeling, Kathleen A. & McGoldrick, Peter J. & Sadhu, Henna, 2013. "Staff Word-of-Mouth (SWOM) and retail employee recruitment," Journal of Retailing, Elsevier, vol. 89(1), pages 88-104.
- Bo Chen & Yao Li & Yuming Yin, 2016. "FDI, Industry Heterogeneity and Employment Elasticity in China," Review of Development Economics, Wiley Blackwell, vol. 20(1), pages 189-200, February.
- Fabienne Fortanier & Selwyn Moons, 2011. "Foreign Investors in The Netherlands: Heterogeneous Employment and Productivity Effects," De Economist, Springer, vol. 159(4), pages 511-531, December.
- Mihai Mutascu & Scott Hegerty, 2023.
"Predicting the contribution of artificial intelligence to unemployment rates: an artificial neural network approach,"
Post-Print
hal-04273887, HAL.
- Mihai Mutascu & Scott W. Hegerty, 2023. "Predicting the contribution of artificial intelligence to unemployment rates: an artificial neural network approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 400-416, June.
- Paul Wabiga & Neil Rankin, 2023. "Foreign acquisition and firm performance in sub‐Saharan Africa: Empirical evidence from Ghana," South African Journal of Economics, Economic Society of South Africa, vol. 91(2), pages 242-269, June.
- Hultblad Brigitta & Karlsson Sune, 2008.
"Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-29, September.
See citations under working paper version above.
- Hultblad, Brigitta & Karlsson, Sune, 2006. "Bayesian simultaneous determination of structural breaks and lag lengths," SSE/EFI Working Paper Series in Economics and Finance 630, Stockholm School of Economics.
- Jana Eklund & Sune Karlsson, 2007.
"Forecast Combination and Model Averaging Using Predictive Measures,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
See citations under working paper version above.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers 5268, C.E.P.R. Discussion Papers.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
- Sune Karlsson & Tor Jacobson, 2004.
"Finding good predictors for inflation: a Bayesian model averaging approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 479-496.
See citations under working paper version above.
- Jacobson, Tor & Karlsson, Sune, 2002. "Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach," Working Paper Series 138, Sveriges Riksbank (Central Bank of Sweden).
- Sune Karlsson & Jimmy Skoglund, 2004.
"Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects,"
Empirical Economics, Springer, vol. 29(1), pages 79-88, January.
See citations under working paper version above.
- Sune Karlsson & Jimmy Skoglund, 2000. "Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects," Econometric Society World Congress 2000 Contributed Papers 1178, Econometric Society.
- Karlsson, Sune & Skoglund, Jimmy, 2000. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," SSE/EFI Working Paper Series in Economics and Finance 383, Stockholm School of Economics.
- Michael K. Andersson & Sune Karlsson, 2001.
"Bootstrapping Error Component Models,"
Computational Statistics, Springer, vol. 16(2), pages 221-231, July.
See citations under working paper version above.
- Andersson, Michael K. & Karlsson, Sune, 1999. "Bootstrapping Error Component Models," SSE/EFI Working Paper Series in Economics and Finance 304, Stockholm School of Economics, revised 30 Jun 2000.
- Karlsson, Sune & Lothgren, Mickael, 2000.
"On the power and interpretation of panel unit root tests,"
Economics Letters, Elsevier, vol. 66(3), pages 249-255, March.
See citations under working paper version above.
- Karlsson, Sune & Löthgren, Mickael, 1999. "On the power and interpretation of panel unit root tests," SSE/EFI Working Paper Series in Economics and Finance 299, Stockholm School of Economics.
- Karlsson, Sune & Lothgren, Mickael, 2000.
"Computationally efficient double bootstrap variance estimation,"
Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 237-247, May.
See citations under working paper version above.
- Karlsson, Sune & Löthgren, Mickael, 1997. "Computationally Efficient Double Bootstrap Variance Estimation," SSE/EFI Working Paper Series in Economics and Finance 151, Stockholm School of Economics.
- 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.
See citations under working paper version above.
- 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.
- Edlund, Per-Olov & Karlsson, Sune, 1993.
"Forecasting the Swedish unemployment rate VAR vs. transfer function modelling,"
International Journal of Forecasting, Elsevier, vol. 9(1), pages 61-76, April.
Cited by:
- Schanne, N. & Wapler, R. & Weyh, A., 2010.
"Regional unemployment forecasts with spatial interdependencies,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 908-926, October.
- Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2008. "Regional unemployment forecasts with spatial interdependencies," IAB-Discussion Paper 200828, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB-Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Masayoshi Hayashi, 2012.
"Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program,"
CIRJE F-Series
CIRJE-F-846, CIRJE, Faculty of Economics, University of Tokyo.
- Hayashi, Masayoshi, 2014. "Forecasting welfare caseloads: The case of the Japanese public assistance program," Socio-Economic Planning Sciences, Elsevier, vol. 48(2), pages 105-114.
- Tanujit Chakraborty & Ashis Kumar Chakraborty & Munmun Biswas & Sayak Banerjee & Shramana Bhattacharya, 2021. "Unemployment Rate Forecasting: A Hybrid Approach," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 183-201, January.
- McCracken, Michael W., 2004. "Parameter estimation and tests of equal forecast accuracy between non-nested models," International Journal of Forecasting, Elsevier, vol. 20(3), pages 503-514.
- Jan G. de Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Tinbergen Institute Discussion Papers
05-068/4, Tinbergen Institute.
- Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Wai-Sum Chan, 1999. "Exact joint forecast regions for vector autoregressive models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 35-44.
- Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association.
- Stanislav E. Shmelev & Nathan Lefievre & Nadim Saadi & Irina A. Shmeleva, 2023. "Interdisciplinary Linkages among Sustainability Dimensions in the Context of European Cities and Regions Research," Sustainability, MDPI, vol. 15(20), pages 1-28, October.
- Adriana AnaMaria Davidescu & Simona-Andreea Apostu & Liviu Adrian Stoica, 2021. "Socioeconomic Effects of COVID-19 Pandemic: Exploring Uncertainty in the Forecast of the Romanian Unemployment Rate for the Period 2020–2023," Sustainability, MDPI, vol. 13(13), pages 1-22, June.
- Muneeb Ahmad & Yousaf Ali Khan & Chonghui Jiang & Syed Jawad Haider Kazmi & Syed Zaheer Abbas, 2023. "The impact of COVID‐19 on unemployment rate: An intelligent based unemployment rate prediction in selected countries of Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 528-543, January.
- Schanne, N. & Wapler, R. & Weyh, A., 2010.
"Regional unemployment forecasts with spatial interdependencies,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 908-926, October.
Software components
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Chapters
- 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.
See citations under working paper version above.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Michael K. Andersson & Sune Karlsson, 2008.
"Bayesian forecast combination for VAR models,"
Advances in Econometrics, in: Bayesian Econometrics, pages 501-524,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
- Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian Forecast Combination for VAR Models," Working Papers 2007:13, Örebro University, School of Business.