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Citations for "Var Forecasting Using Bayesian Variable Selection"

by Dimitris Korobilis

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  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, School of Economics and Management, University of Aarhus.
  2. Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012. "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
  3. 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.
  4. Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
  5. Joshua C C Chan, 2012. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics.
  6. Korobilis, Dimitris, 2013. "Bayesian forecasting with highly correlated predictors," Economics Letters, Elsevier, vol. 118(1), pages 148-150.
  7. Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
  8. 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.
  9. Korobilis, Dimitris, 2014. "Data-based priors for vector autoregressions with drifting coefficients," MPRA Paper 53772, University Library of Munich, Germany.
  10. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  11. Irfan akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2011. "The changing international transmission of us monetary policy shocks: is there evidence of contagion effect on oecd countries," Economics Bulletin, AccessEcon, vol. 31(4), pages A49.
  12. Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
  13. Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
  14. Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers 1303, University of Strathclyde Business School, Department of Economics.
  15. Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
  16. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  17. Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 03/2015, Stellenbosch University, Department of Economics.
  18. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  19. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Applied Economics.
  20. Mehmet Balcilar & Rangan Gupta & Kevin Kotze, 2013. "Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model," Working Papers 201313, University of Pretoria, Department of Economics.
  21. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
  22. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, vol. 46(2), pages 743-763, March.
  23. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  24. Matkovskyy, Roman, 2012. "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper 42173, University Library of Munich, Germany.
  25. Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper Series 44_14, The Rimini Centre for Economic Analysis.
  26. Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper Series 40_14, The Rimini Centre for Economic Analysis.
  27. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  28. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers 13-055/III, Tinbergen Institute, revised 16 Jan 2015.
  29. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  30. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
  31. Zhou, Xiaocong & Nakajima, Jouchi & West, Mike, 2014. "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 963-980.
  32. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
  33. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  34. Laséen, Stefan & Strid, Ingvar, 2013. "Debt Dynamics and Monetary Policy: A Note," Working Paper Series 283, Sveriges Riksbank (Central Bank of Sweden).
  35. GABSZEWICZ, Jean & TAROLA, Ornella, 2011. "Migration, wage differentials and fiscal competition," CORE Discussion Papers 2011065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
    [Forecasting Economic Development of Ukraine based on BVAR models with different prior
    ," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
  37. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  38. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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