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Citations for "Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?"

by Christine De Mol & Domenico Giannone & Lucrezia Reichlin

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  1. 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, School of Economics, University of East Anglia, Norwich, UK. 056, School of Economics, University of East Anglia, Norwich, UK..
  2. Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014. "The Financial and Macroeconomic Effects of the OMT Announcements," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  3. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9380, C.E.P.R. Discussion Papers.
  4. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Paper 1227, Federal Reserve Bank of Cleveland.
  5. Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series, European Central Bank 0998, European Central Bank.
  6. 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).
  7. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
  8. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank, Research Centre.
  9. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  10. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
  11. 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.
  12. Chris Bloor & Troy Matheson, 2008. "Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/09, Reserve Bank of New Zealand.
  13. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers, Queen Mary, University of London, School of Economics and Finance 634, Queen Mary, University of London, School of Economics and Finance.
  14. 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.
  15. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2011. "Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model," International Journal of Strategic Property Management, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 1-20, August.
  16. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
  17. Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
  18. Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper Series, The Rimini Centre for Economic Analysis 05_14, The Rimini Centre for Economic Analysis.
  19. Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis, 2014. "Hierarchical Shrinkage in Time‐Varying Parameter Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 80-94, 01.
  20. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo Group Munich.
  21. Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers, Queen Mary, University of London, School of Economics and Finance 625, Queen Mary, University of London, School of Economics and Finance.
  22. 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.
  23. Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2010. "Monetary policy in exceptional times," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7669, C.E.P.R. Discussion Papers.
  24. Robinson Durán & Evelyn Garrido & Carolina Godoy & Juan de Dios Tena, 2012. "Predicción de la inflación en México con modelos desagregados por componente," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 133-167.
  25. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 24(C), pages 1-24.
  26. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2007. "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6600, C.E.P.R. Discussion Papers.
  27. Adina Popescu & Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary," IMF Working Papers 11/259, International Monetary Fund.
  28. 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.
  29. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  30. 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, Research Centre.
  31. Domenico Giannone & Michèle Lenza & Daphné Momferatu & Luca Onorante, 2010. "Short-term inflation projections: a Bayesian vector autoregressive approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2010-011, ULB -- Universite Libre de Bruxelles.
  32. Groen, J.J.J. & Paap, R., 2009. "Real-time inflation forecasting in a changing world," Econometric Institute Research Papers EI 2009-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  33. Jarociński, Marek, 2010. "Imposing parsimony in cross-country growth regressions," Working Paper Series, European Central Bank 1234, European Central Bank.
  34. Inske Pirschel & Maik Wolters, 2014. "Forecasting German Key Macroeconomic Variables Using Large Dataset Methods," Kiel Working Papers 1925, Kiel Institute for the World Economy.
  35. 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.
  36. Giannone, Domenico & Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2011. "Non-standard monetary policy measures and monetary developments," Working Paper Series, European Central Bank 1290, European Central Bank.
  37. Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers, Bank of Greece 184, Bank of Greece.
  38. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  39. Kaabia, Olfa & Abid, Ilyes & Guesmi, Khaled, 2013. "Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 423-432.
  40. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  41. Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the fragility of the banking and insurance sector," DNB Working Papers, Netherlands Central Bank, Research Department 202, Netherlands Central Bank, Research Department.
  42. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
  43. 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).
  44. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics 2009-42, University of Connecticut, Department of Economics.
  45. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7796, C.E.P.R. Discussion Papers.
  46. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7197, C.E.P.R. Discussion Papers.
  47. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers, European University Institute ECO2009/31, European University Institute.
  48. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports, Federal Reserve Bank of New York 327, Federal Reserve Bank of New York.
  49. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2678-2695.
  50. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
  51. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  52. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.
  53. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  54. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers 201214, University of Pretoria, Department of Economics.
  55. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2008_033, ULB -- Universite Libre de Bruxelles.
  56. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series, European Central Bank 0936, European Central Bank.
  57. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
  58. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics, University of Munich, Department of Economics 11140, University of Munich, Department of Economics.
  59. David de Antonio Liedo & Elena Fernández Muñoz, 2010. "Nowcasting Spanish GDP growth in real time: "One and a half months earlier"," Banco de Espa�a Working Papers 1037, Banco de Espa�a.
  60. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 20-29.
  61. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers, School of Economics, The University of New South Wales 2012-03, School of Economics, The University of New South Wales.
  62. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers, Czech National Bank, Research Department 2013/06, Czech National Bank, Research Department.
  63. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, Springer, vol. 45(1), pages 635-664, August.
  64. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 244-258.
  65. Simone Auer, 2014. "Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR," Working Papers 2014-02, Swiss National Bank.
  66. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, Springer, vol. 46(2), pages 743-763, March.
  67. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 1-11.
  68. Lucrezia Reichlin, 2009. "Comment on "How Has the Euro Changed the Monetary Transmission Mechanism?"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 127-139 National Bureau of Economic Research, Inc.
  69. Bloor, Chris & Matheson, Troy, 2011. "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 22(1), pages 26-42, January.
  70. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  71. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 304-317, October.
  72. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  73. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers, Centre for Central Banking Studies, Bank of England 2, Centre for Central Banking Studies, Bank of England.
  74. Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series, European Central Bank 1170, European Central Bank.
  75. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8604, C.E.P.R. Discussion Papers.
  76. Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(4), pages 607-629.
  77. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 305-319.
  78. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  79. Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper, Federal Reserve Bank of Kansas City RWP 11-11, Federal Reserve Bank of Kansas City.
  80. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  81. Julieta Fuentes & Pilar Poncela & Julio Rodríguez, 2012. "Sparse partial least squares in time series for macroeconomic forecasting," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws122216, Universidad Carlos III, Departamento de Estadística y Econometría.