Forecasting in vector autoregressions with many predictors

Citations

Cited by:

1. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
2. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
3. 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.
4. Gary M. Koop, 2013. "Forecasting with Medium and Large Bayesian VARS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, March.
   • Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper series 43_10, Rimini Centre for Economic Analysis.
   • Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
   • Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
5. 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.
6. 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.
7. Stefański, Maciej, 2022. "Macroeconomic effects and transmission channels of quantitative easing," Economic Modelling, Elsevier, vol. 114(C).
8. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
9. Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.
10. 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.
    • Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
    • Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper series 47_09, Rimini Centre for Economic Analysis.
11. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
    • Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
12. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
13. 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.
    • 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.
14. Dimitris Korobilis, 2013. "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
    • Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
    • KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper series 51_10, Rimini Centre for Economic Analysis, revised Apr 2011.
15. 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.
16. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Business and Economics.
17. Schnücker, Annika, 2016. "Restrictions Search for Panel VARs," VfS Annual Conference 2016 (Augsburg): Demographic Change 145566, Verein für Socialpolitik / German Economic Association.
18. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
19. Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
20. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
    • Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," SIRE Discussion Papers 2015-73, Scottish Institute for Research in Economics (SIRE).
    • Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
    • Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," MPRA Paper 64143, University Library of Munich, Germany.
21. Korobilis, Dimitris, 2018. "Machine Learning Macroeconometrics A Primer," Essex Finance Centre Working Papers 22666, University of Essex, Essex Business School.
    • Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
22. 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.
    • 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 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
23. 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.
24. 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.
25. Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
26. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
27. Michelle, Gilmartin, 2016. "A note on the identification and transmission of energy demand and supply shocks," MPRA Paper 76186, University Library of Munich, Germany.
28. Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
29. Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-73, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
30. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.