-of-sample forecasting, and accuracy in the estimation of impulse response functions. …

forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …. Specifically, we focus on classical reduced rank regression, a two-step procedure that applies, in turn, shrinkage and reduced rank …

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …-iterated); discuss the treatment of the error variance and of cross-variable shrinkage; and address a set of additional issues, including …

In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … dimension can change over time. For instance, we can have a large TVP-VAR as the forecasting model at some points in time, but a …, the parameter(s) of the shrinkage priors commonly-used with large VARs. These extensions are operationalized through the …

Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still … specifications of the VAR and BVAR models for the IP and Euribor series provide with better forecasting performance. Interestingly …