Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - 2019 - First draft: July 17, 2017, this version: December 10, 2018
need to be included in a VAR if interest is in forecasting or impulse response analysis of a given set of variables. We … including the selected variables into VARs typically improves forecasting accuracy at short horizons. …