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

DOI10.1016/J.JEDC.2016.06.006MaRDI QIDQ1656366zbMATHOpenAlexFDO

Authors Jonas Dovern, Martin Feldkircher, 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

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)

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Cites work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Bayesian Graphical Models for Discrete Data
• Bayesian stochastic search for VAR model restrictions
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Forecasting Performance of an Open Economy DSGE Model
• Forecasting and conditional projection using realistic prior distributions
• Global business cycles: convergence or decoupling?
• Global prediction of recessions
• Infinite-dimensional VARs and factor models
• Multivariate Bayesian Variable Selection and Prediction
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Structural analysis with multivariate autoregressive index models

Cited in

(4)

• A multi-country approach to forecasting output growth using PMIs
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
• Global prediction of recessions

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