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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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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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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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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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VAR Forecasting Using Bayesian Variable Selection
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2010
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 …
Persistent link: https://www.econbiz.de/10008764097
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Hierarchical shrinkage priors for dynamic regressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2011
-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009004835
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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 - 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