-t distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute …

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test … results in MS-VARs contradict those in linear VARs: the money aggregate M1 is useful for forecasting income and for predicting …

forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation …

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

representation. For the estimation we adopt the methodology exposed in Banbura and Modugno (2010). In contrast to other existing …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …