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Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …

Persistent link: https://www.econbiz.de/10003765975

Fiscal forecasting : the track record of the IMF, OECD and EC

Artis, Michael J.; Marcellino, Massimiliano - 1999

Persistent link: https://www.econbiz.de/10001437093

Fractional integration in the purchasing power parity

Gil-Alaña, Luis A. - 1998

Persistent link: https://www.econbiz.de/10000994027

Cross-sectional averaging and instrumental variable estimation with many weak instruments

Kapetanios, George (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003671718

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735