Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when …), and large BVARs, which differ in the way information is condensed and shrinkage is implemented. We find that: (a) large … shows the opposite pattern; (c) BFAVARs perform well under both evaluation criteria; (d) choosing the degree of shrinkage …

shrinkage. We derive point and density forecasts for euro area real GDP growth and HICP inflation conditional on an information … cycle, and on the size of the dataset. Overall, we find that a factor augmented BVAR with shrinkage is competitive in all …

an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small … and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area …