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Macroeconomic forecasting with large Bayesian VARs : global-local priors and the illusion of sparsity

Cross, Jamie; Hou, Chenghan; Poon, Aubrey - In: International journal of forecasting 36 (2020) 3, pp. 899-915

Persistent link: https://www.econbiz.de/10012497058

Macroeconomic forecasting with large stochastic volatility in mean VARs

Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - 2021

Persistent link: https://www.econbiz.de/10012628432

Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic

Schorfheide, Frank; Song, Dongho - 2020 - This version: July 8, 2020

Persistent link: https://www.econbiz.de/10013206029

Bayesian VAR forecasts, survey information, and structural change in the euro area

Ganics, Gergely; Odendahl, Florens - In: International journal of forecasting 37 (2021) 2, pp. 971-999

Persistent link: https://www.econbiz.de/10012794772

A DSGE-VAR model for forecasting key South African macroeconomic variables

Gupta, Rangan; Steinbach, Rudi - In: Economic modelling 33 (2013), pp. 19-33

Persistent link: https://www.econbiz.de/10010192067

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...