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Citations for "Forecasting and conditional projection using realistic prior distribution"

by Thomas Doan & Robert B. Litterman & Christopher A. Sims

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  1. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian Var Models for Forecasting Irish Inflation," Research Technical Papers 4/RT/98, Central Bank of Ireland.
  2. Dario Rukelj & Barbara Ulloa, 2011. "Incorporating uncertainties into economic forecasts: an application to forecasting economic activity in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 35(2), pages 140-170.
  3. Martin Eichenbaum & Kenneth I. Singleton, 1986. "Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles?," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 91-146 National Bureau of Economic Research, Inc.
  4. Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
  5. Quinn, Terry & Kenny, Geoff & Meyler, Aidan, 1999. "Inflation Analysis: An Overview," MPRA Paper 11361, University Library of Munich, Germany.
  6. 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, 05.
  7. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
  8. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
  9. Francis X. Diebold, 1997. "The past, present, and future of macroeconomic forecasting," Working Papers 97-20, Federal Reserve Bank of Philadelphia.
  10. Pablo A. Acosta & Emmanuel K.K. Lartey & Federico S. Mandelman, 2007. "Remittances and the Dutch disease," Working Paper 2007-08, Federal Reserve Bank of Atlanta.
  11. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working Papers 200912, University of Pretoria, Department of Economics.
  12. Altavilla, Carlo & Ciccarelli, Matteo, 2009. "The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area," Working Paper Series 1089, European Central Bank.
  13. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and convergence in G-7 cycles," Economics Working Papers 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
  14. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
  15. Matteo Ciccarelli & Fabio Canova, 2006. "Estimating Multi-country VAR models," Computing in Economics and Finance 2006 478, Society for Computational Economics.
  16. Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper Series 43_10, The Rimini Centre for Economic Analysis.
  17. Musso, Alberto & Neri, Stefano & Stracca, Livio, 2010. "Housing, consumption and monetary policy: how different are the US and the euro area?," Working Paper Series 1161, European Central Bank.
  18. Craig Ebert, 1994. "The indicator role of asset prices," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, September.
  19. Pan, Zheng & LeSage, James P., 1995. "Using spatial contiguity as prior information in vector autoregressive models," Economics Letters, Elsevier, vol. 47(2), pages 137-142, February.
  20. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non-stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, 09.
  21. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation for Research in Economics, Yale University.
  22. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," PIER Working Paper Archive 09-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  23. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
  24. 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 2009-42, University of Connecticut, Department of Economics.
  25. Racette, Daniel & Raynauld, Jacques & Lauzon, Simon, 1992. "La règle monétaire de McCallum revue à la lumière de la méthodologie de Litterman," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 262-282, mars et j.
  26. Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working Papers 201009, University of Pretoria, Department of Economics.
  27. Par Osterholm, 2008. "A structural Bayesian VAR for model-based fan charts," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1557-1569.
  28. Hwee Kwan Chow & Keen Meng Choy, 2004. "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Departmental Working Papers wp0407, National University of Singapore, Department of Economics.
  29. Adina Popescu & Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary; Results from a Large Bayesian VAR," IMF Working Papers 11/259, International Monetary Fund.
  30. Roy H. Webb, 1985. "Toward more accurate macroeconomic forecasts," Economic Review, Federal Reserve Bank of Richmond, issue Jul, pages 3-11.
  31. Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).
  32. Sonali Das & Rangan Gupta & Alain Kabundi, 2009. "Could we have predicted the recent downturn in the South African Housing Market?," Working Papers 149, Economic Research Southern Africa.
  33. repec:fth:cadeco:1993-13-f is not listed on IDEAS
  34. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
  35. 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.
  36. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," CEPR Discussion Papers 7008, C.E.P.R. Discussion Papers.
  37. Sarantis, Nicholas, 2006. "On the short-term predictability of exchange rates: A BVAR time-varying parameters approach," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2257-2279, August.
  38. Maged Shawky Sourial, 2002. "The Future of the Stock Market Channel In Egypt," Finance 0204002, EconWPA.
  39. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  40. Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.
  41. Eric M. Leeper & Tao Zha, 2002. "Empirical Analysis of Policy Interventions," NBER Working Papers 9063, National Bureau of Economic Research, Inc.
  42. Pami Dua, 2008. "Interest Rate Modeling and Forecasting in India," Working Papers id:1521, eSocialSciences.
  43. Ciccone, Antonio & Jarociński, Marek, 2008. "Determinants of economic growth: will data tell?," Working Paper Series 0852, European Central Bank.
  44. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary University of London, School of Economics and Finance.
  45. William Barnett & John Keating & Unja Chae, 2006. "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, vol. 2(3), pages 229-258, July.
  46. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  47. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
  48. Anton Muscatelli & Franco Spinelli & Carmine Trecroci, 2001. "Real Exchange Rates in the Long Run: Evidence from Historical Data," Working Papers 2001_6, Business School - Economics, University of Glasgow.
  49. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  50. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  51. Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers 2009-05, University of Connecticut, Department of Economics, revised Jun 2009.
  52. Peter C. Young & David E. Runkle, 1989. "Recursive estimation and modelling of nonstationary and nonlinear time series," Discussion Paper / Institute for Empirical Macroeconomics 7, Federal Reserve Bank of Minneapolis.
  53. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
  54. Pesaran, M.H. & Smith, L.V. & Smith, R.P, 2005. "What if the UK has Joined the Euro in 1999? An Empirical Evaluation using a Global VAR," Cambridge Working Papers in Economics 0528, Faculty of Economics, University of Cambridge.
  55. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," CORE Discussion Papers 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  56. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  57. Edward K. Offenbacher & Richard D. Porter & Georg Rich, 1983. "Empirical comparisons of credit and monetary aggregates using vector autoregressive methods," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 16-29.
  58. Domenico Giannone & Michèle Lenza & Huw Pill & Lucrezia Reichlin, 2012. "The ECB and the Interbank Market," Working Papers ECARES ECARES 2012-005, ULB -- Universite Libre de Bruxelles.
  59. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky prices versus monetary frictions: an estimation of policy trade-offs," Working Papers 09-8, Federal Reserve Bank of Philadelphia.
  60. Dowd, Michael R. & LeSage, James P., 1997. "Analysis of spatial contiguity influences on state price level formation," International Journal of Forecasting, Elsevier, vol. 13(2), pages 245-253, June.
  61. Fabio Canova & Luca Gambetti, 2004. "On the Time Variations of US Monetary Policy: Who is right?," Money Macro and Finance (MMF) Research Group Conference 2004 96, Money Macro and Finance Research Group.
  62. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
  63. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
  64. Rangan Gupta & Marius Jurgilas & Alan Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode," Working Papers 0919, University of Nevada, Las Vegas , Department of Economics.
  65. Pär Österholm, 2006. "Incorporating judgement in fan charts," Finance and Economics Discussion Series 2006-39, Board of Governors of the Federal Reserve System (U.S.).
  66. Giannone, Domenico & Matheson, Troy, 2007. "A New Core Inflation Indicator for New Zealand," CEPR Discussion Papers 6469, C.E.P.R. Discussion Papers.
  67. Pesaran, M.H. & Chudik, A., 2010. "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," Cambridge Working Papers in Economics 1024, Faculty of Economics, University of Cambridge.
  68. Wieland, Volker & Wolters, Maik H., 2010. "The diversity of forecasts from macroeconomic models of the U.S. economy," CFS Working Paper Series 2010/08, Center for Financial Studies (CFS).
  69. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  70. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, 01.
  71. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  72. Troy D. Matheson, 2013. "New indicators for tracking growth in real time," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 51-71.
  73. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2010. "Macroeconomic instability and the Phillips curve in Italy," Working Papers 1013, University of Brescia, Department of Economics.
  74. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.
  75. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  76. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
  77. Bouoiyour, Jamal & Rey, Serge, 1995. "Chocs externes et ajustements des taux de change réels européens
    [External shocks and adjustment of European real exchange rates]
    ," MPRA Paper 30241, University Library of Munich, Germany.
  78. Andrea Nobili, 2007. "Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?," Empirical Economics, Springer, vol. 33(1), pages 177-195, July.
  79. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2002. "Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence," CESifo Working Paper Series 817, CESifo Group Munich.
  80. Wiliam Branch & George W. Evans, 2005. "A Simple Recursive Forecasting Model," University of Oregon Economics Department Working Papers 2005-3, University of Oregon Economics Department, revised 01 Feb 2005.
  81. 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.
  82. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
  83. Sonsoles Castillo & Fernando C. Ballabriga, 2003. "BBVA-ARIES: a forecasting and simulation model for EMU," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 411-426.
  84. Chang, Yongsung & Gomes, Joao F & Schorfheide, Frank, 2002. "Learning by Doing as a Propagation Mechanism," CEPR Discussion Papers 3599, C.E.P.R. Discussion Papers.
  85. Carmine Trecroci & Matilde Vassalli, 2010. "Monetary Policy Regime Shifts: New Evidence From Time-Varying Interest Rate Rules," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 933-950, October.
  86. Peter Kugler & Thomas J. Jordan, 2004. "Structural Vector Autoregressions and the Analysis of Monetary Policy Interventions: The Swiss Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(I), pages 67-87, March.
  87. Luc Bauwens & Dimitris Korobilis, 2013. "Bayesian methods," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 16, pages 363-380 Edward Elgar.
  88. Bušs, Ginters, 2009. "Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn," MPRA Paper 17273, University Library of Munich, Germany.
  89. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
  90. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
  91. Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  92. Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F., 2010. "Density-Conditional Forecasts in Dynamic Multivariate Models," Working Paper Series 247, Sveriges Riksbank (Central Bank of Sweden).
  93. Klaeffling, Matt, 2003. "Macroeconomic modelling of monetary policy," Working Paper Series 0257, European Central Bank.
  94. Theodore M. Crone & Michael P. McLaughlin, 1999. "A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area," Working Papers 99-7, Federal Reserve Bank of Philadelphia.
  95. Salim Chishti & M. Aynul Hasan, 1993. "What Determines the Behaviour of Real Exchange Rate in Pakistan?," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 1015-1029.
  96. Anirvan Banerji & Pami Dua & Stephen M. Miller, 2002. "Performance Evaluation of the New Connecticut Leading Employment Index Using Lead Profiles and BVAR Models," Working papers 2002-34, University of Connecticut, Department of Economics, revised Jun 2005.
  97. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
  98. 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, vol. 22(1), pages 26-42, January.
  99. Fabio Canova & Matteo Ciccarelli, 2002. "Panel Index Var Models: Specification, Estimation, Testing And Leading Indicators," Working Papers. Serie AD 2002-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  100. William Barnett & Unja Chae & John Keating, 2005. "Forecast Design in Monetary Capital Stock Measurement," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200516, University of Kansas, Department of Economics, revised Aug 2005.
  101. Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, EconWPA.
  102. Rangan Gupta & Sonali Das, 2010. "Predicting Downturns in the US Housing Market: A Bayesian Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 294-319, October.
  103. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  104. Caesar Lack, 2006. "Forecasting Swiss inflation using VAR models," Economic Studies 2006-02, Swiss National Bank.
  105. Benjamin M. Friedman, 1984. "Lessons from the 1979-1982 Monetary Policy Experiment," NBER Working Papers 1272, National Bureau of Economic Research, Inc.
  106. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006. "Forecasting Canadian Time Series With the New-Keynesian Model," Working Papers Central Bank of Chile 382, Central Bank of Chile.
  107. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512 Edward Elgar.
  108. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
  109. John C. Robertson & Ellis W. Tallman & Charles H. Whiteman, 2002. "Forecasting using relative entropy," Working Paper 2002-22, Federal Reserve Bank of Atlanta.
  110. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  111. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
  112. Chow, Hwee Kwan & Choy, Keen Meng, 2006. "Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach," International Journal of Forecasting, Elsevier, vol. 22(2), pages 301-315.
  113. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," Computing in Economics and Finance 2004 79, Society for Computational Economics.
  114. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
  115. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
  116. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Paper 1128, Federal Reserve Bank of Cleveland.
  117. Mário Jorge Mendonça & Luis Alberto Medrano & Adolfo Sachsida, 2009. "Avaliando a Condição da Política Fiscal no Brasil," Discussion Papers 1409, Instituto de Pesquisa Econômica Aplicada - IPEA.
  118. Janine Aron & John Muellbauer, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," IMF Staff Papers, Palgrave Macmillan, vol. 49(Special i), pages 185-213.
  119. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  120. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  121. Crompton, Paul & Wu, Yanrui, 2005. "Energy consumption in China: past trends and future directions," Energy Economics, Elsevier, vol. 27(1), pages 195-208, January.
  122. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Bayesian VARs: Specification Choices and Forecast Accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, 01.
  123. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, 06.
  124. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  125. Francisco F. R. Ramos, 1996. "VAR Priors: Success or lack of a decent macroeconomic theory?," Econometrics 9601002, EconWPA.
  126. Shen, Chung-Hua, 1996. "Forecasting macroeconomic variables using data of different periodicities," International Journal of Forecasting, Elsevier, vol. 12(2), pages 269-282, June.
  127. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
  128. Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
  129. Patricio Jaramillo, 2009. "Estimación de Var Bayesianos para la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 24(1), pages 101-126, Junio.
  130. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  131. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence," Macroeconomics 0303012, EconWPA.
  132. Frank Sédillot & Eric Jondeau & Patrick Jacq, 1993. "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.
  133. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2008. "The Phillips Curve and the Italian Lira, 1861-1998," Working Papers 2008-05, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
  134. Robertson, John C & Tallman, Ellis W, 2001. "Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 324-30, July.
  135. Korobilis, Dimitris, 2009. "Assessing the transmission of monetary policy using dynamic factor models," MPRA Paper 27593, University Library of Munich, Germany, revised Nov 2010.
  136. Michael Andersen & Robert Subbaraman, 1996. "Share Prices and Investment," RBA Research Discussion Papers rdp9610, Reserve Bank of Australia.
  137. Francisco F. R. Ramos, 1996. "The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market," Econometrics 9604002, EconWPA.
  138. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.
  139. Ricardo Mourinho Félix & Luís Catela Nunes, 2003. "Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models," Working Papers w200304, Banco de Portugal, Economics and Research Department.
  140. Highfield, R.A. & O,Hara, M. & Smith, B., 1992. "Do Open Market Operations Matter? Theory and Evidence from the Second Bank of the Unites States," RCER Working Papers 325, University of Rochester - Center for Economic Research (RCER).
  141. 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.
  142. 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.
  143. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
  144. Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2010. "Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach," CEPR Discussion Papers 7746, C.E.P.R. Discussion Papers.
  145. David E. Runkle, 1989. "The U.S. economy in 1990 and 1991: continued expansion likely," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 19-26.
  146. Yiannis Kamarianakis & Poulicos Prastacos, 2006. "Spatial Time-Series Modeling: A review of the proposed methodologies," Working Papers 0604, University of Crete, Department of Economics.
  147. Melolinna, Marko, 2011. "What explains risk premia in crude oil futures?," Research Discussion Papers 2/2011, Bank of Finland.
  148. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Fundamentals, Financial Factors and The Dynamics of Investment in Emerging Markets," NIPE Working Papers 19/2009, NIPE - Universidade do Minho.
  149. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series 59, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
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