Forecasting and turning point predictions in a Bayesian panel VAR model

DOI10.1016/S0304-4076(03)00216-1MaRDI QIDQ2439062zbMATH OpenOpenAlexWikidataFDO

Authors Fabio Canova, Matteo Ciccarelli

Publication date 7 March 2014

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

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00216-1

zbMATH Keywords

forecastingBayesian methodsMarkov chain Monte Carlo methodsturning pointspanel VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3938400 (Why is no real title available?)
• scientific article; zbMATH DE number 3390151 (Why is no real title available?)
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• Estimating Vector Autoregressions with Panel Data
• Estimating long-run relationships from dynamic heterogeneous panels
• Forecasting and turning point predictions in a Bayesian panel VAR model
• Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
• Multivariate regression models for panel data
• On Gibbs sampling for state space models
• Sampling-Based Approaches to Calculating Marginal Densities
• Statistical decision theory and Bayesian analysis. 2nd ed
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Cited in

(22)

• Forecasting and turning point predictions in a Bayesian panel VAR model
• Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
• Forecasting inflation across Euro area countries and sectors: a panel VAR approach
• Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies
• Bayesian Dynamic Tensor Regression
• Bayesian Nonparametric Panel Markov-Switching GARCH Models
• A multi-country approach to forecasting output growth using PMIs
• Evaluating panel data forecasts under independent realization
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Model-based approach for scenario design: stress test severity and banks' resiliency
• Bayesian nonparametric sparse VAR models
• Size, openness, and macroeconomic interdependence
• Are European business cycles close enough to be just one?
• Robust open Bayesian analysis: overfitting, model uncertainty, and endogeneity issues in multiple regression models
• Beta-product dependent Pitman-Yor processes for Bayesian inference
• Institutions and growth: a GMM/IV panel VAR approach
• Do Islamic and conventional banks really differ? A panel data statistical analysis
• G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE?
• Some statistical aspects of methods for detection of turning points in business cycles
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
• Global prediction of recessions

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