Structural analysis with multivariate autoregressive index models

DOI10.1016/J.JECONOM.2016.02.002zbMATH Open1420.62372OpenAlexW1898516540MaRDI QIDQ281034FDOQ281034

Authors: Andrea Carriero, George Kapetanios, Massimiliano Marcellino

Publication date: 10 May 2016

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

Full work available at URL: http://hdl.handle.net/11585/714513

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factor models forecasting large datasets Bayesian VARs multivariate autoregressive index models reduced rank regressions structural analysis

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

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Some results on multivariate autoregressive index models
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Cited In (9)

Bayesian compressed vector autoregressions
Structural analysis with multivariate autoregressive index models
Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
A state-space approach to time-varying reduced-rank regression
Studying co-movements in large multivariate data prior to multivariate modelling
Reduced-Rank Envelope Vector Autoregressive Model
Model reduction methods for vector autoregressive processes.
On the reduced-rank model with leading index
Reducing the state space dimension in a large TVP-VAR

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