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Alternative Bayesian compression in Vector Autoregressions and related models

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  • Mike G. Tsionas

    (Athens University of Economics and Business)

Abstract

In this paper we reconsider large Bayesian Vector Autoregressions (BVAR) from the point of view of Bayesian Compressed Regression (BCR). First, we show that there are substantial gains in terms of out-of-sample forecasting by treating the problem as an error-in-variables formulation and estimating the compression matrix instead of using random draws. As computations can be e?ciently organized around a standard Gibbs sampler, timings and computa-tional complexity are not a?ected severely. Second, we extend the Multivariate Autoregressive Index model to the BCR context and show that we have, again, gains in terms of out-of-sample forecasting. The new techniques are used in U.S data featuring medium-size, large and huge BVARs

Suggested Citation

  • Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
    • Handle: RePEc:bog:wpaper:216
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    References listed on IDEAS

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    1. Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
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    7. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
    8. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
    9. John Geweke, 1994. "Variable selection and model comparison in regression," Working Papers 539, Federal Reserve Bank of Minneapolis.
    10. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016. "Structural analysis with Multivariate Autoregressive Index models," Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
    11. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
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    Cited by:

    1. Assaf, A. George & Tsionas, Mike, 2018. "The estimation and decomposition of tourism productivity," Tourism Management, Elsevier, vol. 65(C), pages 131-142.

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    More about this item

    Keywords

    Bayesian Vector Autoregressions; Bayesian Compressed Re-gression; Error-in-Variables; Forecasting; Multivariate Autoregressive Index model.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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