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 …

– 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. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

-autoregressive model is used to forecast growth under various scenarios. The paper includes a comparison between the forecasting …

– 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 …

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