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Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005342193
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Joint Confidence Sets for Structural Impulse Responses
Inoue, Atsushi; Kilian, Lutz - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10011431286
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Joint confidence sets for structural impulse responses
Inoue, Atsushi; Kilian, Lutz - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10011421682
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10013100207
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Joint Confidence Sets for Structural Impulse Responses
Inoue, Atsushi - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10012997070
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Exchange Rates and Monetary Fundamentals : What Do We Learn from Long-Horizon Regressions?
Kilian, Lutz - 1998
apparent lack of higher power at long horizons suggests that previous findings of increasing long-horizon predictability are … studies, the test provides only weak evidence of exchange rate predictability and no evidence of increasing long …-horizon predictability. Many of the differences in results can be traced to the implementation of the test …
Persistent link: https://www.econbiz.de/10014072162
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10014167514
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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to … alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from …
Persistent link: https://www.econbiz.de/10012669296
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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to … alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from …
Persistent link: https://www.econbiz.de/10012661969
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The Role of the Prior in Estimating VAR Models with Sign Restrictions
Inoue, Atsushi; Kilian, Lutz - 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to imply … estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from exactly the same conceptual …
Persistent link: https://www.econbiz.de/10014090346