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Multi-step forecasting with large vector autoregressions

Pick, Andreas; Carpay, Matthijs - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 73-98). 2022

Persistent link: https://www.econbiz.de/10013201812

Reduced rank regression models in economics and finance

Cubadda, Gianluca; Hecq, Alain W. J. - 2021

Persistent link: https://www.econbiz.de/10013257759

Dimension reduction for high dimensional vector autoregressive models

Cubadda, Gianluca; Hecq, Alain W. J. - 2022

Persistent link: https://www.econbiz.de/10013257768

Representation, estimation and forecasting of the multivariate index-augmented autoregressive model

Cubadda, Gianluca; Guardabascio, Barbara - In: International journal of forecasting 35 (2019) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10012300575

Streamlining time-varying VAR with a factor structure in the parameters

Beyeler, Simon - 2019

I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of...

Persistent link: https://www.econbiz.de/10011990248

Non-linear dimension reduction in factor-augmented vector autoregressions

Klieber, Karin - In: Journal of economic dynamics & control 159 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10014532393

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - 2023

Persistent link: https://www.econbiz.de/10014248988

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - In: The econometrics journal 27 (2024) 1, pp. 126-150

Persistent link: https://www.econbiz.de/10014528100