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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10010678559
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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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Forecasting with Factor Models: A Bayesian Model Averaging Perspective
Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013
terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …
Persistent link: https://www.econbiz.de/10011111484
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Forecasting in vector autoregressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2008
This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …
Persistent link: https://www.econbiz.de/10008592950
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VAR forecasting using Bayesian variable selection
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009
This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …
Persistent link: https://www.econbiz.de/10008593003
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VAR forecasting using Bayesian variable selection
KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011
is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …
Persistent link: https://www.econbiz.de/10010610485
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Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - In: European Economic Review 71 (2014) C, pp. 101-116
We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the...
Persistent link: https://www.econbiz.de/10011048625
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Data-based priors for vector autoregressions with drifting coefficients
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2014
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10011109841
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Data-based priors for vector autoregressions with drifting coefficients
Korobilis, Dimitris - Department of Economics, Adam Smith Business School - 2014
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10010896988