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Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011460766

Forecasting with dynamics models using shrinkage-based estimation

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

Persistent link: https://www.econbiz.de/10010280764

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10010280768

Forecasting large datasets with reduced rank multivariate models

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

Persistent link: https://www.econbiz.de/10010284099

Forecasting the Yield curve using priors from no arbitrage affine term structure models

Carriero, Andrea - 2007

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant …

Persistent link: https://www.econbiz.de/10010284219

Forecasting government bond yields with large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …

Persistent link: https://www.econbiz.de/10010286274

Have Standard VARs Remained Stable Since the Crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

Persistent link: https://www.econbiz.de/10012143851

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

Persistent link: https://www.econbiz.de/10011389735

Have standard VARs remained stable since the crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

Persistent link: https://www.econbiz.de/10010905649

Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

Persistent link: https://www.econbiz.de/10008468530