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Time-varying parameter four-equation DSGE model

Gupta, Rangan; Sun, Xiaojin - 2022

Persistent link: https://www.econbiz.de/10013341328

Using VARs and TVP-VARs with many macroeconomic variables

Koop, Gary - 2013

Persistent link: https://www.econbiz.de/10009735892

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

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 210 (2019) 1, pp. 26-44

Persistent link: https://www.econbiz.de/10012303367

Analyzing and forecasting output gap and inflation using Bayesian vector auto regression (BVAR) method : a case of Pakistan

Tahir, Mian Abdullah - In: International journal of economics and finance 6 (2014) 6, pp. 257-266

Persistent link: https://www.econbiz.de/10010371299

Merging structural and reduced-form models for forecasting : opening the DSGE-VAR box

Martínez-Martín, Jaime; Morris, Richard; Onorante, Luca; … - 2019

The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit …-VAR and Augmented-(B)VARDSGE methods) and assess their use for forecasting the Spanish economy. Our empirical findings suggest … with (B)VAR methods does not give rise to any relevant gain in terms of forecasting accuracy. …