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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

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …

Persistent link: https://www.econbiz.de/10012143797

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. …