content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any … short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …

series at annual frequency. This makes the analysis useful in the typical forecasting environment of large institutions … of the aggregate. Second, we employ a Mixed Data Sampling (MiDaS) approach to analyze mixed frequency …fiscal data, which … is a methodological novelty. It is shown that MiDaS is the best approach for the analysis of mixed frequency fi…scal data …

models in a standard Bayesian VAR to analyse the size and the timing of these effects, as well as to quantify the uncertainty …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure …

include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the … in forecasting the aggregate. We show theoretically that the first method of forecasting the aggregate should outperform … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy …

the basis of a VAR analysis, the study finds that i) global money demand shocks affect global inflation and also global …

policy debate after the global financial crisis. We estimate a panel VAR for 21 advanced economies based on quarterly data …