– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

is assessed in forecasting three major macroeconomic time series of the UK economy. Data-based restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

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 …

In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … dimension can change over time. For instance, we can have a large TVP-VAR as the forecasting model at some points in time, but a … use of forgetting factor methods and are, thus, computationally simple. An empirical application involving forecasting …

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …