Forecasting and conditional projection using realistic prior distributions
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Cited in
(only showing first 100 items - show all)- ARMAX model specification testing, with an application to unemployment in the Netherlands
- Time-varying linear regression via flexible least squares
- Exact predictive densities for linear models with ARCH disturbances
- Volume, volatility, and leverage: A dynamic analysis
- A Gibbs sampling approach to estimation and prediction of time-varying-parameter models.
- A Bayesian approach to state space multivariate time series modeling
- Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
- Forecasting time series with common seasonal patterns (with discussion)
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
- A numerical Bayesian test for cointegration of AR processes
- Do open market operations matter?
- A common framework for estimating multivariate autoregressive index models
- Combining multiple time series predictors: A useful inferential procedure
- Aggregation of space-time processes.
- Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
- A Bayesian approach to dynamic macroeconomics
- A priori information and Bayesian forecasting in transfer function models
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- Modelling breaks and clusters in the steady states of macroeconomic variables
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Priors about observables in vector autoregressions
- Inference in dynamic models containing 'surprise' variables
- A Bayesian vector error correction model for forecasting exchange rates.
- Typologies of linear dynamic systems and models
- Controlling spurious drift
- A simple recursive forecasting model
- Mind your \(p\)s and \(q\)s! Improving ARMA forecasts with RBC priors
- Operational aspect of the policy coordination for financial stability: role of Jeffreys-Lindley's paradox in operations research
- The spillovers from US monetary policy to Asian economies
- Nowcasting with large Bayesian vector autoregressions
- Inference in Bayesian additive vector autoregressive tree models
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Reducing the state space dimension in a large TVP-VAR
- A survey of exogeneity in vector error correction models
- Optimal consumption with time-inconsistent preferences
- Modeling mortality with a Bayesian vector autoregression
- Comparing DSGE-VAR forecasting models: how big are the differences?
- Bayesian nonparametric sparse VAR models
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- Maximum entropy vector kernels for MIMO system identification
- How useful are DSGE macroeconomic models for forecasting?
- Forecasting and turning point predictions in a Bayesian panel VAR model
- Theory-coherent forecasting
- Large time-varying parameter VARs
- Inference on stochastic time-varying coefficient models
- VAR forecasting under misspecification
- Regime-switching cointegration
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Constrained interest rates and changing dynamics at the zero lower bound
- On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
- Stochastic model specification in Markov switching vector error correction models
- Macroeconomic uncertainty and forecasting macroeconomic aggregates
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
- Structural analysis with multivariate autoregressive index models
- Large Bayesian VARMAs
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Bayesian stochastic search for VAR model restrictions
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- Sir Clive W. J. Granger's contributions to forecasting
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
- Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Analytical uses of Kalman filtering in econometrics — A survey
- Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling
- Forecasting inflation using dynamic model averaging
- Forecasting global equity indices using large Bayesian VARs
- Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
- Econometric analysis of high dimensional VARs featuring a dominant unit
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Relationships among prices of rubber in ASEAN: Bayesian structural VAR model
- Short-run price forecast performance of individual and composite models for 496 corn cash markets
- Using large data sets to forecast sectoral employment
- Priors for the long run
- High-dimensional posterior consistency in Bayesian vector autoregressive models
- A scaled gradient projection method for Bayesian learning in dynamical systems
- The diversity of forecasts from macroeconomic models of the US economy
- A Comparison of Conditioned Versus Unconditioned Forecasts of the VAR(1) Process
- Optimal multistep VAR forecast averaging
- Nonlinear autoregressive models with optimality properties
- Reduced forms and weak instrumentation
- A state-space approach to time-varying reduced-rank regression
- A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
- Global robust Bayesian analysis in large models
- Comparing stochastic volatility specifications for large Bayesian VARs
- We modeled long memory with just one lag!
- High-dimensional conditionally Gaussian state space models with missing data
- Large Hybrid Time-Varying Parameter VARs
- Prediction error identification of linear systems: a nonparametric Gaussian regression approach
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models
- Bayesian flexible local projections
- The discounted economic stock of money with VAR forecasting
- Using spatial contiguity as prior information in vector autoregressive models
- Bayesian model averaging for VAR models: \texttt{gretl}-based implementation
- Inference in a stationary/nonstationary autoregressive time-varying-parameter model
- Selecting time-series hyperparameters with the artificial jackknife
- Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
- Shrinkage estimators for periodic autoregressions
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