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Citations for "Bayesian stochastic search for VAR model restrictions"

by George, Edward I. & Sun, Dongchu & Ni, Shawn

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  1. 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.
  2. Dimitris Korobilis, 2012. "Bayesian forecasting with highly correlated predictors," Working Papers 2012_12, Business School - Economics, University of Glasgow.
  3. 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.
  4. Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
    ," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
  5. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  6. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
  7. Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
  8. Xiarchos, Irene M. & Burnett, J. Wesley & Kucher, Oleg, 2012. "Energy and Speculation: New Dynamics in Agricultural Commodity Price Volatility," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124788, Agricultural and Applied Economics Association.
  9. Gary Koop, 2012. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(3), pages 143-167, September.
  10. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
  12. Gupta, Rangan & Steinbach, Rudi, 2013. "A DSGE-VAR model for forecasting key South African macroeconomic variables," Economic Modelling, Elsevier, vol. 33(C), pages 19-33.
  13. 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).
  14. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Applied Economics.
  15. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, vol. 46(2), pages 743-763, March.
  16. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
  17. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  18. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "Appendix for A New Look at Variation in Employment Growth in Canada: The Role of Industry, Provincial, National and External Factors," Working Papers 26145533, Lancaster University Management School, Economics Department.
  19. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
  20. Han, Xiaoyi & Lee, Lung-fei, 2013. "Bayesian estimation and model selection for spatial Durbin error model with finite distributed lags," Regional Science and Urban Economics, Elsevier, vol. 43(5), pages 816-837.
  21. Jarocinski, Marek & Mackowiak, Bartosz Adam, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
  22. Matkovskyy, Roman, 2012. "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper 42173, University Library of Munich, Germany.
  23. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  24. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  25. Rangan Gupta & Rudi Steinbach, 2010. "Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model," Working Papers 201019, University of Pretoria, Department of Economics.
  26. Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
  27. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
  28. Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series 056, School of Economics, University of East Anglia, Norwich, UK..