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Supplanting the 'Minnesota' prior: Forecasting macroeconomic time series using real business cycle model priors

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. On Bayesian DSGE Modeling with Hard and Soft Restrictions
    by Francis Diebold in No Hesitations on 2015-11-23 17:57:00
  2. Shrinking VAR's Toward Theory: Supplanting the Minnesota Prior?
    by Francis Diebold in No Hesitations on 2016-01-31 23:50:00

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
  2. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
  3. Luc Bauwens & Dimitris Korobilis, 2013. "Bayesian methods," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 16, pages 363-380, Edward Elgar Publishing.
  4. Babecký, Jan & Franta, Michal & Ryšánek, Jakub, 2018. "Fiscal policy within the DSGE-VAR framework," Economic Modelling, Elsevier, vol. 75(C), pages 23-37.
  5. Roberta Cardani & Alessia Paccagnini & Stelios D. Bekiros, 2017. "The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations," Working Papers 201701, School of Economics, University College Dublin.
  6. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
  7. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
  8. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004.
  9. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
  10. Maik H. Wolters, 2015. "Evaluating Point and Density Forecasts of DSGE Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, January.
  11. Chang, Yongsung & Schorfheide, Frank, 2003. "Labor-supply shifts and economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1751-1768, November.
  12. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
  13. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
  14. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  15. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  16. Stéphane Adjemian & Florian Pelgrin, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Economie & Prévision, La Documentation Française, vol. 0(2), pages 127-152.
  17. Jarociński, Marek & Marcet, Albert, 2019. "Priors about observables in vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(2), pages 238-255.
  18. Massimiliano Serati & Gianni Amisano, 2003. "Unemployment and labour taxation: an econometric analysis," LIUC Papers in Economics 122, Cattaneo University (LIUC).
  19. Bekiros, Stelios D. & Paccagnini, Alessia, 2015. "Macroprudential Policy And Forecasting Using Hybrid Dsge Models With Financial Frictions And State Space Markov-Switching Tvp-Vars," Macroeconomic Dynamics, Cambridge University Press, vol. 19(7), pages 1565-1592, October.
  20. Canova, Fabio & Ciccarelli, Matteo, 2004. "Forecasting and turning point predictions in a Bayesian panel VAR model," Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
  21. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
  22. Andrea Carriero, 2011. "Forecasting The Yield Curve Using Priors From No‐Arbitrage Affine Term Structure Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(2), pages 425-459, May.
  23. Gianni Amisano & John Geweke, 2017. "Prediction Using Several Macroeconomic Models," The Review of Economics and Statistics, MIT Press, vol. 99(5), pages 912-925, December.
  24. Guangling (Dave) Liu & Rangan Gupta & Eric Schaling, 2007. "Forecasting the South African Economy: A DSGE-VAR Approach," Working Papers 200724, University of Pretoria, Department of Economics.
  25. repec:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
  26. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
  27. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2008. "Forecasting Canadian time series with the New Keynesian model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 138-165, February.
  28. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  29. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
  30. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
  31. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Papers (Old Series) 1617, Federal Reserve Bank of Cleveland.
  32. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528, April.
  33. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
  34. Stelios D. Bekiros & Alessia Paccagnini, 2016. "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 613-632, November.
  35. Tor Jacobson & Per Jansson & Anders Vredin & Anders Warne, 2001. "Monetary policy analysis and inflation targeting in a small open economy: a VAR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 487-520.
  36. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," FRB Atlanta Working Paper 2000-3, Federal Reserve Bank of Atlanta.
  37. Gianni Amisano & Massimiliano Serati, 2003. "What goes up sometimes stays up: shocks and institutions as determinants of unemployment persistence," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(4), pages 440-470, September.
  38. Gert Peersman & Roland Straub, 2009. "Technology Shocks And Robust Sign Restrictions In A Euro Area Svar," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 727-750, August.
  39. Christian Zimmermann, 2001. "Forecasting with Real Business Cycle Models," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 36(1), pages 189-203, January.
  40. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
  41. Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.
  42. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
  43. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  44. Gonzalo Fernández-de-Córdoba & José Torres, 2011. "Forecasting the Spanish economy with an augmented VAR–DSGE model," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 2(3), pages 379-399, September.
  45. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," 2004 Meeting Papers 43, Society for Economic Dynamics.
  46. Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004. "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper 2004-37, Federal Reserve Bank of Atlanta.
  47. Tao Zha, 1996. "Identification, vector autoregression, and block recursion," FRB Atlanta Working Paper 96-8, Federal Reserve Bank of Atlanta.
  48. 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.
  49. Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 2023.
  50. Ali Dib & Kevin Moran, 2005. "Forecasting with the New-Keynesian Model: An Experiment with Canadian Data," Computing in Economics and Finance 2005 235, Society for Computational Economics.
  51. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
  52. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
  53. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2010. "RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 113-136, February.
  54. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
  55. Huber, Florian & Rabitsch, Katrin, 2019. "Exchange rate dynamics and monetary policy - Evidence from a non-linear DSGE-VAR approach," Department of Economics Working Paper Series 295, WU Vienna University of Economics and Business.
  56. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
  57. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
  58. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
  59. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2019. "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors," Journal of Econometrics, Elsevier, vol. 212(1), pages 137-154.
  60. Angeliki ANAGNOSTOU & Stephanos PAPADAMOU, 2014. "The Impact Of Monetary Shocks On Regional Output: Evidence From Four South Eurozone Countries," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 39, pages 105-130.
  61. Hirano, Keisuke & Porter, Jack R., 2020. "Asymptotic analysis of statistical decision rules in econometrics," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 283-354, Elsevier.
  62. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers E2018/5, Cardiff University, Cardiff Business School, Economics Section.
  63. George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
  64. Gianni Amisano & Massimiliano Serati, 2003. "Unemployment persistence in Italy. An econometric analysis with multivariate time varying parameter models," LIUC Papers in Economics 121, Cattaneo University (LIUC).
  65. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
  66. Jan Babecky & Michal Franta & Jakub Rysanek, 2016. "Effects of Fiscal Policy in the DSGE-VAR Framework: The Case of the Czech Republic," Working Papers 2016/09, Czech National Bank, Research and Statistics Department.
  67. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
  68. Lees, Kirdan & Matheson, Troy, 2007. "Mind your ps and qs! Improving ARMA forecasts with RBC priors," Economics Letters, Elsevier, vol. 96(2), pages 275-281, August.
  69. Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
  70. Theodoridis, Konstantinos, 2007. "Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison," Cardiff Economics Working Papers E2007/15, Cardiff University, Cardiff Business School, Economics Section.
  71. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
  72. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
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  75. Jan Jacobs & Albert van der Horst,, 1996. "VAR-ing the economy of the Netherlands," Working Papers 24, Centre for Economic Research, University of Groningen and University of Twente.
  76. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2020. "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Econometrics and Statistics, Elsevier, vol. 16(C), pages 1-27.
  77. Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open Economy Dsge-Var Forecasting And Policy Analysis: Head To Head With The Rbnz Published Forecasts," CAMA Working Papers 2007-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  78. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
  79. Tim Robinson, 2013. "Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies," RBA Research Discussion Papers rdp2013-06, Reserve Bank of Australia.
  80. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
  81. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  82. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  83. Kim, Kun Ho, 2011. "Density forecasting through disaggregation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 394-412.
  84. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
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  86. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers 591, Queen Mary University of London, School of Economics and Finance.
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  88. Kriwoluzky, Alexander, 2008. "Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models," SFB 649 Discussion Papers 2008-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  89. Christopher A. Sims, 2007. "Monetary Policy Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2), pages 75-90.
  90. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
  91. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  92. Kim, Kun Ho, 2011. "Density forecasting through disaggregation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 394-412, April.
  93. Kevin Moran & Veronika Dolar, 2002. "Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data," Staff Working Papers 02-18, Bank of Canada.
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  95. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
  96. Christian Zimmermann, 2001. "Forecasting with Real Business Cycle Models," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 36(1), pages 189-203, January.
  97. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.
  98. Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
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  103. Daniel F. Waggoner & Hongwei Wu & Tao Zha, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper 2014-21, Federal Reserve Bank of Atlanta.
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