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Bayesian Vector autoregressions (BVARs)
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This RePEc Biblio topic is edited by Domenico Giannone. It was first published on 2017-09-02 06:22:58 and last updated on 2017-09-02 08:26:58.
Introduction by the editor
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out‐of‐sample forecasts, particularly for models with many variables. A solution to this problem is to use informative priors, in order to shrink the richly parameterized unrestricted model towards a parsimonious naıve benchmark, and thus reduce estimation uncertaintyMost relevant link for this topic
http://en.wikipedia.org/wiki/Bayesian_vector_autoregressionMost relevant JEL codes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
Most relevant NEP reports
NEP reports are email or RSS notifications about new research in selected fields. Subscriptions are free.Most relevant research
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983.
"Forecasting and Conditional Projection Using Realistic Prior Distributions,"
NBER Working Papers
1202, National Bureau of Economic Research, Inc.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
- Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
- Christopher A. Sims, 1993.
"A Nine-Variable Probabilistic Macroeconomic Forecasting Model,"
NBER Chapters,in: Business Cycles, Indicators and Forecasting, pages 179-212
National Bureau of Economic Research, Inc.
- Christopher A. Sims, 1989. "A nine variable probabilistic macroeconomic forecasting model," Discussion Paper / Institute for Empirical Macroeconomics 14, Federal Reserve Bank of Minneapolis.
- Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
- Sims, Christopher A & Zha, Tao, 1998.
"Bayesian Methods for Dynamic Multivariate Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
- Christopher A. Sims & Tao Zha, 1996. "Bayesian methods for dynamic multivariate models," FRB Atlanta Working Paper 96-13, Federal Reserve Bank of Atlanta.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2008. "Bayesian VARs with large panels," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics,
MIT Press, vol. 97(2), pages 436-451, May.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Gary M. Koop, 2013.
"Forecasting with Medium and Large Bayesian VARS,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, March.
- Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper Series 43_10, The Rimini Centre for Economic Analysis.
- Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
- Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
- Davide Pettenuzzo & Gary Koop & Dimitris Korobilis, 2016.
"Bayesian Compressed Vector Autoregressions,"
Working Papers
103, Brandeis University, Department of Economics and International Businesss School.
- Davide Pettenuzzo & Gary Koop & Dimitris Korobilis, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Businesss School, revised Apr 2016.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting,
Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Banbura, Marta & Giannone, Domenico & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Krueger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015.
"Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts,"
Working Paper
1439, Federal Reserve Bank of Cleveland.
- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.
- Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers No 8/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Marco Del Negro & Frank Schorfheide, 2004.
"Priors from General Equilibrium Models for VARS,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
- Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.
- Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E, 2016.
"Priors for the Long Run,"
CEPR Discussion Papers
11261, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Brave, Scott & Butters, R. Andrew & Justiniano, Alejandro, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
- Frank Schorfheide & Dongho Song, 2015.
"Real-Time Forecasting With a Mixed-Frequency VAR,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
- Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
- Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
- Gianni Amisano & Andreas Beyer & Michele Lenza, 2010. "Enhancing monetary analysis," Research Bulletin, European Central Bank, vol. 11, pages 2-6.
- Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
- Luca Dedola & Giulia Rivolta & Livio Stracca, 2016.
"If the Fed Sneezes, Who Catches a Cold?,"
NBER Chapters,in: NBER International Seminar on Macroeconomics 2016
National Bureau of Economic Research, Inc.
- Dedola, Luca & Rivolta, Giulia & Stracca, Livio, 2017. "If the Fed sneezes, who catches a cold?," Journal of International Economics, Elsevier, vol. 108(S1), pages 23-41.
- Dedola, Luca & Rivolta, Giulia & Stracca, Livio, 2017. "If the Fed sneezes, who catches a cold?," Working Paper Series 2050, European Central Bank.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015.
"Bayesian VARs: Specification Choices and Forecast Accuracy,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, January.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Paper 1112, Federal Reserve Bank of Cleveland.