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Bayesian Approaches to Shrinkage and Sparse Estimation
Korobilis, Dimitris; Shimizu, Kenichi - 2021
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/noparametric inference is the norm in several fields of applied econometric work....
Persistent link: https://www.econbiz.de/10015265696
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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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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
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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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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School
We use factor augmented vector autoregressive models with time-varying coe¢ cients to construct a …nancial conditions index. The time-variation in the parameters allows for the weights attached to each …nancial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011019232
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A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models
Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - Economics Department, University of Strathclyde - 2011
This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …
Persistent link: https://www.econbiz.de/10009644007
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Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011
– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009000949
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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