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Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure

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misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector … forecasting accuracy. …

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Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models

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Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TPV-VAR SV models

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Large vector autoregressions with stochastic volatility and flexible priors

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Large mixed-frequency VARs with a parsimonious time-varying parameter structure

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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 …

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Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

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Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

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Large Bayesian VARs : a flexible Kronecker error covariance structure

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Large Bayesian VARs : a flexible Kronecker error covariance structure

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