notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …

predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our … analysis considers a large number of countries, shows evidence of more out-of-sample predictability with nominal than real oil … prices, finds in-sample predictability to be independent of the use of nominal and real prices, and reveals greater evidence …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …