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Citations for "Prior Selection for Vector Autoregressions"

by Domenico Giannone & Michele Lenza & Giorgio E. Primiceri

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  1. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2026-2047.
  2. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
  3. Afanasyeva, Elena, 2012. "Atypical Behavior of Money and Credit: Evidence From Conditional Forecasts," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65405, Verein für Socialpolitik / German Economic Association.
  4. 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.
  5. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers, European University Institute ECO2011/30, European University Institute.
  6. Giannone, Domenico & Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2012. "The ECB and the Interbank Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8844, C.E.P.R. Discussion Papers.
  7. Andrea Carriero & Todd Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Paper 1112, Federal Reserve Bank of Cleveland.
  8. Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
  9. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 189, Oesterreichische Nationalbank (Austrian Central Bank).
  10. Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
  11. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  12. Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series, European Central Bank 1600, European Central Bank.
  13. Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-35, Scottish Institute for Research in Economics (SIRE).
  14. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8388, C.E.P.R. Discussion Papers.
  15. Michal Franta, 2012. "Macroeconomic Effects of Fiscal Policy in the Czech Republic: Evidence Based on Various Identification Approaches in a VAR Framework," Working Papers, Czech National Bank, Research Department 2012/13, Czech National Bank, Research Department.
  16. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers, Czech National Bank, Research Department 2011/10, Czech National Bank, Research Department.
  17. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
  18. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 662-682.
  19. Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Natalia Tamirisa, 2013. "Monetary Policy and Balance Sheets," Working Papers 364, Economic Research Southern Africa.
  20. KOROBILIS, Dimitris, 2011. "Hierarchical shrinkage priors for dynamic regressions with many predictors," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  21. Cléaud, G. & Lemoine, M. & Pionnier, P.-A., 2013. "Which size and evolution of the government expenditure multiplier in France (1980-2010)?," Working papers, Banque de France 469, Banque de France.
  22. Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series, European Central Bank 1492, European Central Bank.
  23. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Paper 1128, Federal Reserve Bank of Cleveland.
  24. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers, Federal Reserve Bank of Minneapolis 701, Federal Reserve Bank of Minneapolis.
  25. Auer, Simone, 2014. "Monetary policy shocks and foreign investment income: evidence from a large Bayesian VAR," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 170, Federal Reserve Bank of Dallas.
  26. Beauchemin, Kenneth, 2013. "A 14-Variable Mixed-Frequency VAR Model," Staff Report, Federal Reserve Bank of Minneapolis 493, Federal Reserve Bank of Minneapolis.
  27. Baumeister, Christiane & Kilian, Lutz, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9118, C.E.P.R. Discussion Papers.
  28. Michal Andrle & Roberto Garcia-Saltos & Giang Ho, 2013. "The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure," IMF Working Papers 13/220, International Monetary Fund.
  29. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers, Society for Economic Dynamics 965, Society for Economic Dynamics.
  30. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  31. Korobilis, Dimitris, 2014. "Data-based priors for vector autoregressions with drifting coefficients," MPRA Paper 53772, University Library of Munich, Germany.
  32. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers, Federal Reserve Bank of St. Louis 2013-010, Federal Reserve Bank of St. Louis.
  33. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, Elsevier, vol. 175(2), pages 132-141.
  34. Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2012-14, Scottish Institute for Research in Economics (SIRE).
  35. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  36. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 426-448.
  37. Lance Kent, 2014. "Linkages, Transmission, and the Evolution of International Business Cycles," Working Papers, Department of Economics, College of William and Mary 149, Department of Economics, College of William and Mary.
  38. Raffaella Giacomini, 2012. "Incorporating theoretical restrictions into forecasting by projection methods," 2012 Meeting Papers, Society for Economic Dynamics 548, Society for Economic Dynamics.