Forecasting with Bayesian Vector Autoregressions

Citations

Cited by:

1. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
2. Kilian, Lutz & Zhou, Xiaoqing, 2022. "The impact of rising oil prices on U.S. inflation and inflation expectations in 2020–23," Energy Economics, Elsevier, vol. 113(C).
   • Lutz Kilian & Xiaoqing Zhou, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," Working Papers 2116, Federal Reserve Bank of Dallas.
   • Lutz Kilian & Xiaoqing Zhou, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," CESifo Working Paper Series 9455, CESifo.
   • Kilian, Lutz & Zhou, Xiaoqing, 2021. "The impact of rising oil prices on U.S. inflation and inflation expectations in 2020-23," CFS Working Paper Series 670, Center for Financial Studies (CFS).
   • Kilian, Lutz & Zhou, Xiaoqing, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," CEPR Discussion Papers 16776, C.E.P.R. Discussion Papers.
3. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021. "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS) 1348, University of Warwick, Department of Economics.
   • Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
   • Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," SciencePo Working papers Main hal-03373574, HAL.
   • Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
   • Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers 2023-04, Center for Research in Economics and Statistics.
4. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
5. Knüppel, Malte & Schultefrankenfeld, Guido, 2019. "Assessing the uncertainty in central banks’ inflation outlooks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1748-1769.
   • Knüppel, Malte & Schultefrankenfeld, Guido, 2018. "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers 56/2018, Deutsche Bundesbank.
6. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
   • Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
7. Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
   • Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
   • Kilian, Lutz & Inoue, Atsushi, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," CEPR Discussion Papers 15545, C.E.P.R. Discussion Papers.
8. Louzis Dimitrios P., 2016. "Steady-state priors and Bayesian variable selection in VAR forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 495-527, December.
   • Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
9. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
   • Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
   • Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," ifo Working Paper Series 155, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
   • Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
10. Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    • Joshua C.C. Chan & Xuewen Yu, 2020. "Fast and accurate variational inference for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
11. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
12. Florian Huber & Tamás Krisztin & Philipp Piribauer, 2017. "Forecasting Global Equity Indices Using Large Bayesian Vars," Bulletin of Economic Research, Wiley Blackwell, vol. 69(3), pages 288-308, July.
    • Huber, Florian & Krisztin, Tamás & Piribauer, Philipp, 2014. "Forecasting Global Equity Indices Using Large Bayesian VARs," Department of Economics Working Paper Series 184, WU Vienna University of Economics and Business.
    • Florian Huber & Tamas Krisztin & Philipp Piribauer, 2014. "Forecasting Global Equity Indices using Large Bayesian VARs," Department of Economics Working Papers wuwp184, Vienna University of Economics and Business, Department of Economics.
13. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
14. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    • Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
    • Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
    • Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
15. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
    • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
    • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
16. Máximo Camacho & Matías Pacce & Gabriel Pérez-Quirós, 2020. "Spillover effects in international business cycles," Working Papers 2034, Banco de España.
    • Pérez-Quirós, Gabriel & Camacho, Máximo & Pacce, Matias Jose, 2021. "Spillover Effects in International Business Cycles," CEPR Discussion Papers 15787, C.E.P.R. Discussion Papers.
    • Camacho, Maximo & Perez-Quiros, Gabriel & Pacce, Matías, 2020. "Spillover effects in international business cycles," Working Paper Series 2484, European Central Bank.
17. Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
18. Katarzyna Budnik & Gerhard Rünstler, 2023. "Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 186-201, March.
    • Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
19. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    • Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    • Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
    • Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
20. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
    • Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
    • Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
21. Oğuz, Fuat & Akkemik, K. Ali & Göksal, Koray, 2015. "Toward a wider market definition in broadband: The case of Turkey," Utilities Policy, Elsevier, vol. 37(C), pages 111-119.
22. Oskar Gustafsson & Mattias Villani & Pär Stockhammar, 2023. "Bayesian optimization of hyperparameters from noisy marginal likelihood estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 577-595, June.
    • Oskar Gustafsson & Mattias Villani & Par Stockhammar, 2020. "Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates," Papers 2004.10092, arXiv.org, revised Aug 2022.
23. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
    • Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    • Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
    • Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
    • Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
    • Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
    • Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
    • Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
24. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248, Emerald Group Publishing Limited.
    • Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018. "How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis," CAMA Working Papers 2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
25. Gunter, Ulrich & Önder, Irem, 2016. "Forecasting city arrivals with Google Analytics," Annals of Tourism Research, Elsevier, vol. 61(C), pages 199-212.
26. Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
27. Hajargasht, Gholamreza & Rao, D.S. Prasada, 2019. "Multilateral index number systems for international price comparisons: Properties, existence and uniqueness," Journal of Mathematical Economics, Elsevier, vol. 83(C), pages 36-47.
    • Gholamreza Hajargasht & Prasada Rao, 2018. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," Papers 1811.04197, arXiv.org, revised Dec 2018.
    • Gholamreza Hajargasht & D.S. Prasada Rao, 2019. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," CEPA Working Papers Series WP032019, School of Economics, University of Queensland, Australia.
28. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
29. Anastasios Evgenidis & Apostolos Fasianos, 2019. "Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data," Papers 1912.09702, arXiv.org.
30. Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
31. Chan, Joshua C.C., 2021. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
    • Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
32. Dimitrios P. Louzis, 2017. "Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs," Empirical Economics, Springer, vol. 53(2), pages 569-598, September.
33. Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
34. Heiner F. Mikosch & Stefan Neuwirth, 2015. "Real-Time Forecasting with a MIDAS VAR," KOF Working papers 15-377, KOF Swiss Economic Institute, ETH Zurich.
    • Mikosch, Heiner & Neuwirth, Stefan, 2015. "Real-time forecasting with a MIDAS VAR," BOFIT Discussion Papers 13/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
35. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
    • Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
    • Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
36. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
    • Andrejs Zlobins, 2019. "Country-Level Effects of the ECB's Expanded Asset Purchase Programme," Working Papers 2019/02, Latvijas Banka.
37. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
38. Tobias S. Blattner & Michael A. S. Joyce, 2020. "The Euro Area Bond Free Float and the Implications for QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1361-1395, September.
39. Anttonen, Jetro, 2018. "Nowcasting the Unemployment Rate in the EU with Seasonal BVAR and Google Search Data," ETLA Working Papers 62, The Research Institute of the Finnish Economy.
40. Lodge, David & Soudan, Michel, 2019. "Credit, financial conditions and the business cycle in China," Working Paper Series 2244, European Central Bank.
41. 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.
    • Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
    • Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
    • Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
    • Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
42. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
43. Follett, Lendie & Yu, Cindy, 2019. "Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior," Econometrics and Statistics, Elsevier, vol. 11(C), pages 130-144.
44. 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.
45. Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, vol. 12(2), pages 1-41, July.
    • Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, vol. 12(2), pages 1-41, July.
    • Sebastian Ankargren & M{aa}ns Unosson & Yukai Yang, 2019. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Papers 1911.09151, arXiv.org.
46. Samuel N. Cohen & Silvia Lui & Will Malpass & Giulia Mantoan & Lars Nesheim & 'Aureo de Paula & Andrew Reeves & Craig Scott & Emma Small & Lingyi Yang, 2023. "Nowcasting with signature methods," Papers 2305.10256, arXiv.org.
47. Ankargren, Sebastian & Shahnazarian, Hovick, 2019. "The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden," Working Paper Series 365, Sveriges Riksbank (Central Bank of Sweden), revised 01 Apr 2019.
48. Apostolos Ampountolas, 2019. "Forecasting hotel demand uncertainty using time series Bayesian VAR models," Tourism Economics, , vol. 25(5), pages 734-756, August.
49. Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
50. Mikhail Mamonov & Anna Pestova, 2021. ""Sorry, You're Blocked." Economic Effects of Financial Sanctions on the Russian Economy," CERGE-EI Working Papers wp704, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
51. Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
    • Joshua C.C. Chan, 2015. "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers 2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
52. Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.
53. MAMATZAKIS, emmanuel & MAMATZAKIS, E, 2022. "Understanding the impact of travel on wellbeing: evidence for Great Britain during the pandemic," MPRA Paper 112974, University Library of Munich, Germany.
54. Copaciu, Mihai & Nalban, Valeriu & Bulete, Cristian, 2015. "R.E.M. 2.0, An estimated DSGE model for Romania," Dynare Working Papers 48, CEPREMAP.
55. Pedro Costa Ferreira & Raíra Marotta B. Vieira & Felipi Bruno Silva & Ingrid C. L. Oliveira, 2019. "Measuring Brazilian Economic Uncertainty," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 25-40, April.
56. Lai, Wei-Ting & Chen, Ray-Bing & Chen, Ying & Koch, Thorsten, 2022. "Variational Bayesian inference for network autoregression models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
57. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
    • Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
58. Diab, Sara & Karaki, Mohamad B., 2023. "Do increases in gasoline prices cause higher food prices?," Energy Economics, Elsevier, vol. 127(PB).
59. Thu, Le Ha & Leon-Gonzalez, Roberto, 2021. "Forecasting macroeconomic variables in emerging economies," Journal of Asian Economics, Elsevier, vol. 77(C).
60. Epstein, Brendan & Finkelstein Shapiro, Alan & González Gómez, Andrés, 2019. "Global financial risk, aggregate fluctuations, and unemployment dynamics," Journal of International Economics, Elsevier, vol. 118(C), pages 351-418.
61. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
62. Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
63. Graham Elliott & Allan Timmermann, 2016. "Forecasting in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 81-110, October.
    • Timmermann, Allan & Elliott, Graham, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
    • Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," University of California at San Diego, Economics Working Paper Series qt6z55v472, Department of Economics, UC San Diego.
64. Karamanis, Dimitrios & Kechrinioti, Alexandra, 2023. "The Greek-Turkish rivalry: A Bayesian VAR approach," MPRA Paper 116827, University Library of Munich, Germany.
65. Sinan Q. Salih & Intisar Alakili & Ufuk Beyaztas & Shamsuddin Shahid & Zaher Mundher Yaseen, 2021. "Prediction of dissolved oxygen, biochemical oxygen demand, and chemical oxygen demand using hydrometeorological variables: case study of Selangor River, Malaysia," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(5), pages 8027-8046, May.
66. Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.
67. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
68. Aleksandra Bezborodova & Yuri Mihalenok, 2015. "Analysis of the monetary policy transmission mechanism in the Republic of Belarus: Bayesian approach (in Russian)," Quantile, Quantile, issue 13, pages 41-61, May.
69. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
70. Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
71. Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021. "Structural scenario analysis with SVARs," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
    • Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
    • Antolin-Diaz, Juan & Petrella, Ivan & Rubio-Ramirez, Juan F., 2020. "Structural Scenario Analysis with SVARs," EMF Research Papers 32, Economic Modelling and Forecasting Group.
72. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    • Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
    • Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
73. Franta, Michal, 2017. "Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 136-157.
    • Michal Franta, 2015. "Rare Shocks vs. Non-linearities: What Drives Extreme Events in the Economy? Some Empirical Evidence," Working Papers 2015/04, Czech National Bank.
74. Prüser Jan & Hanck Christoph, 2021. "A Comparison of Approaches to Select the Informativeness of Priors in BVARs," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(4), pages 501-525, August.
75. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
76. Akbar, Muhammad & Iqbal, Farhan & Noor, Farzana, 2019. "Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan," Resources Policy, Elsevier, vol. 62(C), pages 154-164.
77. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
78. Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
79. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
80. Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
81. 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.
82. Damian Stelmasiak & Grzegorz Szafrański, 2016. "Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(1), pages 21-42, March.
83. repec:hal:spmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
84. Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
85. 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).
86. Meilina Retno Hapsari & Suci Astutik & Loekito Adi Soehono, 2020. "Estimation of VECM Parameter Using Bayesian Approach: An Application to Analysis of Macroeconomic Variables," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 9(6), pages 113-113, November.
87. Laurynas Narusevicius & Tomas Ramanauskas & Laura Gudauskaitė & Tomas Reichenbachas, 2019. "Lithuanian house price index: modelling and forecasting," Bank of Lithuania Occasional Paper Series 28, Bank of Lithuania.
88. 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, September.
89. Valeriu Nalban, 2015. "Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(1), pages 60-74, March.
90. Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
    • Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
91. Paci, Lucia & Consonni, Guido, 2020. "Structural learning of contemporaneous dependencies in graphical VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
92. James P. LeSage & Daniel Hendrikz, 2019. "Large Bayesian vector autoregressive forecasting for regions: A comparison of methods based on alternative disturbance structures," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 62(3), pages 563-599, June.
93. Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers 184, Bank of Greece.