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Large vector autoregressions with stochastic volatility and flexible priors

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Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

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Capturing macroeconomic tail risks with Bayesian vector autoregressions

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020

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Large Bayesian VARMAs

Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390

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Endogenous uncertainty

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A new model of inflation, trend inflation, and long-run inflation expectations

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Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010338455

Real-time nowcasting with a bayesian mixed frequency model with stochastic volatility

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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

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