Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
DOI10.1016/J.JEDC.2005.06.005zbMATH Open1198.91174OpenAlexW2105674376MaRDI QIDQ956477FDOQ956477
Thomas J. Sargent, Sergei Morozov, Timothy Cogley
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30-10482
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)
Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
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- Monte Carlo methods in Bayesian computation
- Error Bands for Impulse Responses
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- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Term structure views of monetary policy under alternative models of agent expectations
Cited In (13)
- Interval forecasts and parameter uncertainty
- A MIDAS approach to modeling first and second moment dynamics
- Large time-varying parameter VARs
- Forecast uncertainty and the Bank of England’s interest rate decisions
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
- On the evolution of the monetary policy transmission mechanism
- Investigating time-variation in the marginal predictive power of the yield spread
- AN INTEGRATED DECISION SUPPORT FRAMEWORK FOR MACROECONOMIC POLICY MAKING BASED ON EARLY WARNING THEORIES
- What central bankers need to know about forecasting oil prices
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
- Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
- Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
Uses Software
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