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Forecasting with Bayesian Vector Autoregressions

Karlsson, Sune - Handelshögskolan, Örebro Universitet - 2012

Prepared for the Handbook of Economic Forecasting, vol 2 <p> This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...</p>

Persistent link: https://www.econbiz.de/10011019076

Forecasting with Bayesian Vector Autoregressions

Karlsson, Sune - 2012

Prepared for the Handbook of Economic Forecasting, vol 2 This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...

Persistent link: https://www.econbiz.de/10012654382

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10011374406

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Expected money growth, Markov trends and the instability of money demand in the euro area

Kaufmann, Sylvia; Kugler, Peter - 2007 - This version: December 2007

with a switching intercept term. Of course, this likely leads to a rejection of cointegration by standard tests and to the …

Persistent link: https://www.econbiz.de/10011570250

Do house prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autogressive model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - In: Economics, management and financial markets 7 (2012) 4, pp. 101-120

Persistent link: https://www.econbiz.de/10009740972

Multi-population mortality modelling : a Bayesian hierarchical approach

Shi, Jianjie; Shi, Yanlin; Wang, Pengjie; Zhu, Dan - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 46-74

Persistent link: https://www.econbiz.de/10014485594

Chapter 15. Forecasting with Bayesian Vector Autoregression

Karlsson, Sune - 2013

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the...

Persistent link: https://www.econbiz.de/10014025233

The determinants of the Harare Stock Exchange (HSE) market capitalisation

Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005787110

Cointegration: An Introduction to the Literature

Perman, Roger - In: Journal of Economic Studies 18 (1991) September, pp. 3-30

An overview of the cointegration approach to econometric specification and estimation is provided. A non … knowledge of the subject but with some limited knowledge of econometrics. Particular emphases are given to the rationale for … using cointegration techniques in the estimation of economic relationships, to providing intuitive explanations of the …

Persistent link: https://www.econbiz.de/10008459576

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