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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. 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.
  2. Paul Hofmarcher & Jesús Crespo Cuaresma & Bettina Grün & Kurt Hornik, 2015. "Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 133-144, 03.
  3. Florian Huber, 2014. "Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions," Economics Bulletin, AccessEcon, vol. 34(3), pages 1687-1695.
  4. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
  5. 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.
  6. 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.
  7. Zhou, Xiaocong & Nakajima, Jouchi & West, Mike, 2014. "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 963-980.
  8. 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).
  9. Feldkircher, Martin & Huber, Florian, 2016. "The international transmission of US shocks—Evidence from Bayesian global vector autoregressions," European Economic Review, Elsevier, vol. 81(C), pages 167-188.
  10. Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper 58131, University Library of Munich, Germany.
  11. 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, 09.
  12. 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.
  13. Christina Christou & Rangan Gupta & Christis Hassapis, 2016. "Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach," Working Papers 201637, University of Pretoria, Department of Economics.
  14. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
  15. Schnücker, Annika, 2016. "Restrictions Search for Panel VARs," Annual Conference 2016 (Augsburg): Demographic Change 145566, Verein für Socialpolitik / German Economic Association.
  16. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "Technical appendix to: a new look at variation in employment growth in Canada," Working Papers 26145533, Lancaster University Management School, Economics Department.
  17. Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper Series 51_10, The Rimini Centre for Economic Analysis, revised Apr 2011.
  18. repec:uea:aepppr:2012_56 is not listed on IDEAS
  19. Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
    [Forecasting Economic Development of Ukraine based on BVAR models with different prior
    ," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
  20. 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.
  21. 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.
  22. 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.
  23. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2015. "Assessing the effects of unconventional monetary policy on pension funds risk incentives," MPRA Paper 73398, University Library of Munich, Germany, revised Aug 2016.
  24. Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
  25. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
  26. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  27. P. A. V. B. Swamya & S. G. Hall & G. S. Tavlas & I. Chang & H. D. Gibson & W. H. Greene & J. S. Mehta, 2016. "A Method for Measuring Treatment Effects on the Treated without Randomization," Discussion Papers in Economics 16/02, Department of Economics, University of Leicester.
  28. 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.
  29. Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
  30. 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.
  31. Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
  32. 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.
  33. 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.
  34. Davide Pettenuzzo & Gary Koop & Dimitris Korobilis, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Businesss School.
  35. Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
  36. Dimitris Korobilis, 2012. "Bayesian forecasting with highly correlated predictors," Working Papers 2012_12, Business School - Economics, University of Glasgow.
  37. 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.
  38. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  39. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  40. 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.
  41. 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.
  42. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
  43. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
  44. Wensheng Kang & Ronald A. Ratti, 2015. "Oil shocks, policy uncertainty and stock returns in China," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 23(4), pages 657-676, October.
  45. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)," Papers 1608.02740, arXiv.org, revised Dec 2016.
  46. 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.
  47. 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.
  48. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "Time-varying effect of oil market shocks on the stock market," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 150-163.
  49. Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo Group Munich.
  50. Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
  51. 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.
  52. Felix Abramovich & Vadim Grinshtein, 2013. "Estimation of a sparse group of sparse vectors," Biometrika, Biometrika Trust, vol. 100(2), pages 355-370.
  53. repec:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559 is not listed on IDEAS
  54. 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).
  55. 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.
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