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Citations for "Prior Selection for Vector Autoregressions"

by Domenico Giannone & Michele Lenza & Giorgio E. Primiceri

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  1. Christiane Baumeister & Lutz Kilian, 2014. "What Central Bankers Need To Know About Forecasting Oil Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 869-889, 08.
  2. Aastveit, Knut Are & Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2014. "Have Standard VARs Remained Stable since the Crisis?," Working Paper 1411, Federal Reserve Bank of Cleveland.
  3. Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
  4. Clark, Todd E. & McCracken, Michael W., 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers 2014-25, Federal Reserve Bank of St. Louis.
  5. Giannone, Domenico & Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2012. "The ECB and the Interbank Market," CEPR Discussion Papers 8844, C.E.P.R. Discussion Papers.
  6. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  7. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
  8. Cléaud, G. & Lemoine, M. & Pionnier, P.-A., 2013. "Which size and evolution of the government expenditure multiplier in France (1980-2010)?," Working papers 469, Banque de France.
  9. Baumeister, Christiane & Kilian, Lutz, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers 8414, C.E.P.R. Discussion Papers.
  10. Koop, Gary & Korobilis, Dimitris, 2013. "Large time-varying parameter VARs," Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
  11. 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).
  12. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Michal Franta, 2012. "Macroeconomic Effects of Fiscal Policy in the Czech Republic: Evidence Based on Various Identification Approaches in a VAR Framework," Working Papers 2012/13, Czech National Bank, Research Department.
  14. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the Price of Oil," Working Papers 11-15, Bank of Canada.
  15. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  16. Bognanni, Mark & Herbst, Edward, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Paper 1427, Federal Reserve Bank of Cleveland.
  17. Korobilis, Dimitris, 2013. "Hierarchical shrinkage priors for dynamic regressions with many predictors," International Journal of Forecasting, Elsevier, vol. 29(1), pages 43-59.
  18. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Paper 1128, Federal Reserve Bank of Cleveland.
  19. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
  20. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  21. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models," Working Papers 819, Barcelona Graduate School of Economics.
  22. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
  23. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
  24. Carriero, Andrea & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2015. "Macroeconomic information, structural change, and the prediction of fiscal aggregates," International Journal of Forecasting, Elsevier, vol. 31(2), pages 325-348.
  25. Michal Andrle & Roberto Garcia-Saltos & Giang Ho, 2013. "The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure," IMF Working Papers 13/220, International Monetary Fund.
  26. 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.
  27. Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.
  28. 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.
  29. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  30. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
  31. Dimitris Korobilis, 2014. "Data-based priors for vector autoregressions with drifting coefficients," Working Papers 2014_04, Business School - Economics, University of Glasgow.
  32. Simone Auer, 2014. "Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR," Working Papers 2014-02, Swiss National Bank.
  33. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
  34. Beauchemin, Kenneth, 2013. "A 14-Variable Mixed-Frequency VAR Model," Staff Report 493, Federal Reserve Bank of Minneapolis.
  35. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
  36. Manescu, Cristiana & Van Robays, Ine, 2014. "Forecasting the Brent oil price: addressing time-variation in forecast performance," Working Paper Series 1735, European Central Bank.
  37. Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Natalia Tamirisa, 2013. "Monetary Policy and Balance Sheets," Working Papers 364, Economic Research Southern Africa.
  38. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2014. "Forecast combinations in a DSGE-VAR lab," Economics Series 309, Institute for Advanced Studies.
  39. Lance Kent, 2014. "Bilateral Linkages and the International Transmission of Business Cycles," Working Papers 149, Department of Economics, College of William and Mary.
  40. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  41. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
  42. Afanasyeva, Elena, 2013. "Atypical behavior of credit: Evidence from a monetary VAR," IMFS Working Paper Series 70, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  43. Afanasyeva, Elena, 2012. "Atypical Behavior of Money and Credit: Evidence From Conditional Forecasts," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65405, Verein für Socialpolitik / German Economic Association.
  44. 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.
  45. Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
  46. Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series 1492, European Central Bank.
  47. Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
  48. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research Department.
  49. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.
  50. Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
  51. Deryugina , Elena & Ponomarenko , Alexey, 2014. "A large Bayesian vector autoregression model for Russia," BOFIT Discussion Papers 22/2014, Bank of Finland, Institute for Economies in Transition.
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