Forecasting with specification-switching VARs

DOI10.1002/FOR.2455MaRDI QIDQ4687623zbMATH OpenOpenAlexFDO

Authors Y. Hwang

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2455

zbMATH Keywords

Bayesian estimationdynamic model averagingdynamic model selectionvector autoregressions

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Forecasting in vector autoregressions with many predictors
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Cited in

(4)

• VAR forecasting under misspecification
• Bayesian forecast combination for VAR models
• Model switching and model averaging in time-varying parameter regression models
• Adaptive learning from model space

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