We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance … simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only …-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …

VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data … the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …