Showing 1 - 10 of 18
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10011083279
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 most promising existing alternatives, namely, factor...
Persistent link: https://www.econbiz.de/10008528528
In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification choices. In the baseline case, we use a Normal-Inverted Wishart (N-IW) prior that, when combined with a (pseudo-) iterated approach, makes the analytical computation of h-step ahead...
Persistent link: https://www.econbiz.de/10008854551
Persistent link: https://www.econbiz.de/10008825755
Persistent link: https://www.econbiz.de/10009512444
Persistent link: https://www.econbiz.de/10014229222
Persistent link: https://www.econbiz.de/10001063967
Persistent link: https://www.econbiz.de/10003724829
In this Paper we evaluate the relative performance of linear, non-linear and time-varying models for about 500 macroeconomic variables for the countries in the Euro area, using a real-time forecasting methodology. It turns out that linear models work well for about 35% of the series under...
Persistent link: https://www.econbiz.de/10005504487
It is rather common to have several competing forecasts for the same variable, and many methods have been suggested to pick up the best, on the basis of their past forecasting performance. As an alternative, the forecasts can be combined to obtain a pooled forecast, and several options are...
Persistent link: https://www.econbiz.de/10005504619