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We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...
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practice using data from Sweden. We compare the forecast performance of BVAR and DSGE models with the Riksbank's official, more …- and judgment based forecasts, and show that the combined forecast performs well out-of-sample. In addition, we show the … advantages of structural analysis and use the models for interpreting the recent development of the inflation rate using …
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approach to model the forecasts of the Federal Open Market Committee over 1992-2019 and to forecast those forecasts themselves … projections for inflation, unemployment, and the Fed's policy rate-are themselves predictable by information publicly available at …
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quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …
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