Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR

DOI10.1016/J.JEDC.2016.06.006zbMATH Open1401.91490OpenAlexW3121469171MaRDI QIDQ1656366FDOQ1656366

Martin Feldkircher, Jonas Dovern, Florian Huber

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/18586/1/dovern%20feldkircher%20Huber_2015_dp590.pdf

Recommendations

• Global prediction of recessions
• A multi-country approach to forecasting output growth using PMIs
• Forecasting global equity indices using large Bayesian VARs
• Forecasting mortality with international linkages: a global vector-autoregression approach
• Modelling and forecasting government bond spreads in the euro area: a GVAR model

zbMATH Keywords

copulaforecast evaluationGVARlog scoreglobal economy

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Cites Work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Forecasting and conditional projection using realistic prior distributions
• Bayesian Graphical Models for Discrete Data
• Multivariate Bayesian Variable Selection and Prediction
• Forecasting Performance of an Open Economy DSGE Model
• Infinite-dimensional VARs and factor models
• Structural analysis with multivariate autoregressive index models
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Bayesian stochastic search for VAR model restrictions
• GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?*
• Global prediction of recessions
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

Cited In (3)

• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• Global prediction of recessions

This page was built for publication: Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1656366)