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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. 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.
  2. 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.
  3. 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.
  4. Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
  5. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
  6. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
  7. Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
  8. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
  9. Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
  10. Dimitris Korobilis, 2012. "Bayesian forecasting with highly correlated predictors," Working Papers 2012_12, Business School - Economics, University of Glasgow.
  11. 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.
  12. Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
  13. Bartosz Mackowiak, 2015. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," 2015 Meeting Papers 66, Society for Economic Dynamics.
  14. Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
  15. P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & I-Lok Chang & Heather D. Gibson & William H. Greene & Jatinder S. Mehta, 2016. "A Method for Measuring Treatment Effects on the Treated without Randomization," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 19, March.
  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. repec:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559 is not listed on IDEAS
  18. 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.
  19. Jonas Dovern & Martin Feldkircher & Florian Huber, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 200, Oesterreichische Nationalbank (Austrian Central Bank).
  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. 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.
  22. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  23. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  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. 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.
  26. 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.
  27. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. 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.
  29. 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.
  30. 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.
  31. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
  32. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016. "Structural analysis with Multivariate Autoregressive Index models," Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
  33. Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
  34. Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers 1303, University of Strathclyde Business School, Department of Economics.
  35. 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.
  36. 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.
  37. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
  38. 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.
  39. Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
  40. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  41. Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo Group Munich.
  42. 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.
  43. 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.
  44. 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).
  45. 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 056, School of Economics, University of East Anglia, Norwich, UK..
  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. Florian Huber, 2014. "Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions," Economics Bulletin, AccessEcon, vol. 34(3), pages 1687-1695.
  48. Davide Pettenuzzo & Gary Koop & Dimitris Korobilis, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Businesss School.
  49. 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.
  50. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  51. 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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