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

Bayesian methodsforecastingMarkov chain Monte Carlo methodspanel VARturning points

Mathematics Subject Classification ID

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

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Cites work

• Bayes estimation of short-run coefficients in dynamic panel data models.
• Estimating long-run relationships from dynamic heterogeneous panels
• Estimating Vector Autoregressions with Panel Data
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Forecasting and turning point predictions in a Bayesian panel VAR model
• scientific article; zbMATH DE number 3938400 (Why is no real title available?)
• scientific article; zbMATH DE number 3390151 (Why is no real title available?)
• 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

(23)

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

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