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