Structural analysis with multivariate autoregressive index models

DOI10.1016/j.jeconom.2016.02.002zbMath1420.62372MaRDI QIDQ281034

Massimiliano Marcellino, Andrea Carriero, George Kapetanios

Publication date: 10 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11585/714513

zbMATH Keywords

forecasting; structural analysis; factor models; large datasets; Bayesian VARs; multivariate autoregressive index models; reduced rank regressions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

Related Items

A state-space approach to time-varying reduced-rank regression, Structural analysis with multivariate autoregressive index models, Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR, Bayesian compressed vector autoregressions

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