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Forecasting in vector autoregressions with many predictors

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2008

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …

Persistent link: https://www.econbiz.de/10008592950

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …

Persistent link: https://www.econbiz.de/10008593003

VAR forecasting using Bayesian variable selection

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to … shrinkage estimators. …

Persistent link: https://www.econbiz.de/10010610485

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...

Persistent link: https://www.econbiz.de/10010678559

VAR Forecasting Using Bayesian Variable Selection

Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2010

is assessed in forecasting three major macroeconomic time series of the UK economy. Data-based restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to … shrinkage estimators. …

Persistent link: https://www.econbiz.de/10008764097

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - In: European Economic Review 71 (2014) C, pp. 101-116

We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the...

Persistent link: https://www.econbiz.de/10011048625

A New Index of Financial Conditions

Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...

Persistent link: https://www.econbiz.de/10011108998

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

-of-sample forecasting, and accuracy in the estimation of impulse response functions. …

Persistent link: https://www.econbiz.de/10011083403

Bayesian nonparametric sparse VAR models

Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10012303895