Forecasting in vector autoregressions with many predictors
DOI10.1016/S0731-9053(08)23012-4zbMATH Open1189.91152OpenAlexW1623043652MaRDI QIDQ3572033FDOQ3572033
Publication date: 30 June 2010
Published in: Bayesian Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)23012-4
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Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Bayesian problems; characterization of Bayes procedures (62C10)
Cited In (11)
- Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
- Title not available (Why is that?)
- Prior selection for panel vector autoregressions
- Forecasting and conditional projection using realistic prior distributions
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting with Multivariate Threshold Autoregressive Models
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- Methods for computing marginal data densities from the Gibbs output
- Evaluating the Accuracy of Forecasts from Vector Autoregressions
- Steady-state priors and Bayesian variable selection in VAR forecasting
- A new posterior sampler for Bayesian structural vector autoregressive models
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