Data outliers and Bayesian VARs in the Euro Area
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DOI: https://doi.org/10.53479/23552
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- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021.
"Addressing COVID-19 Outliers in BVARs with Stochastic Volatility,"
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- Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea & Mertens, Elmar, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," CEPR Discussion Papers 15964, C.E.P.R. Discussion Papers.
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Cited by:
- Diakonova, Marina & Ghirelli, Corinna & Molina, Luis & Pérez, Javier J., 2023.
"The economic impact of conflict-related and policy uncertainty shocks: The case of Russia,"
International Economics, Elsevier, vol. 174(C), pages 69-90.
- Marina Diakonova & Corinna Ghirelli & Javier J. Pérez & Luis Molina, 2022. "The economic impact of conflict-related and policy uncertainty shocks: the case of Russia," Working Papers 2242, Banco de España.
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
COVID-19 pandemic; outliers; Bayesian VARs; forecasting; euro area;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DES-2023-05-29 (Economic Design)
- NEP-ECM-2023-05-29 (Econometrics)
- NEP-EEC-2023-05-29 (European Economics)
- NEP-ETS-2023-05-29 (Econometric Time Series)
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