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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 135 (2006) 1/2, pp. 499-526
Persistent link: https://www.econbiz.de/10003376109
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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 212 (2019) 1, pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
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Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark - In: Journal of econometrics 227 (2022) 2, pp. 498-505
Persistent link: https://www.econbiz.de/10013442175