메뉴 건너뛰기




Volumn 28, Issue 2, 2013, Pages 177-203

Forecasting with Medium and Large Bayesian VARS

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84874021974     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1270     Document Type: Article
Times cited : (319)

References (29)
  • 1
    • 34248203740 scopus 로고    scopus 로고
    • Bayesian analysis of DSGE models
    • An S, Schorfheide F. 2007. Bayesian analysis of DSGE models. Econometric Reviews 26: 113-172.
    • (2007) Econometric Reviews , vol.26 , pp. 113-172
    • An, S.1    Schorfheide, F.2
  • 3
    • 15544377383 scopus 로고    scopus 로고
    • Measuring monetary policy: a factor augmented vector autoregressive (FAVAR) approach
    • Bernanke B, Boivin J, Eliasz P. 2005. Measuring monetary policy: a factor augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 120: 387-422.
    • (2005) Quarterly Journal of Economics , vol.120 , pp. 387-422
    • Bernanke, B.1    Boivin, J.2    Eliasz, P.3
  • 6
    • 84874019857 scopus 로고    scopus 로고
    • Forecasting government bond yields with large Bayesian VARs. Working Paper No. 662, School of Economics and Finance, Queen Mary, University of London.
    • Carriero A, Kapetanios G, Marcellino M. 2010. Forecasting government bond yields with large Bayesian VARs. Working Paper No. 662, School of Economics and Finance, Queen Mary, University of London.
    • (2010)
    • Carriero, A.1    Kapetanios, G.2    Marcellino, M.3
  • 7
    • 70449089152 scopus 로고    scopus 로고
    • Monetary policy shocks: what have we learned and to what end?
    • Vol., Taylor J, Woodford M (eds). Elsevier: Amsterdam
    • Christiano L, Eichenbaum M, Evans C. 1999. Monetary policy shocks: what have we learned and to what end? In Handbook of Macroeconomics, Vol. 1, Taylor J, Woodford M (eds). Elsevier: Amsterdam; 65-148.
    • (1999) Handbook of Macroeconomics , vol.1 , pp. 65-148
    • Christiano, L.1    Eichenbaum, M.2    Evans, C.3
  • 8
    • 84874022698 scopus 로고    scopus 로고
    • Macroeconomic forecasting and structural change. ECARES Working Paper 2009-020.
    • D'Agostino A, Gambetti L, Giannone D. 2009. Macroeconomic forecasting and structural change. ECARES Working Paper 2009-020.
    • (2009)
    • D'Agostino, A.1    Gambetti, L.2    Giannone, D.3
  • 9
    • 53649093540 scopus 로고    scopus 로고
    • Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
    • De Mol C, Giannone D, Reichlin L. 2008. Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? Journal of Econometrics 146: 318-328.
    • (2008) Journal of Econometrics , vol.146 , pp. 318-328
    • De Mol, C.1    Giannone, D.2    Reichlin, L.3
  • 11
    • 55649090068 scopus 로고    scopus 로고
    • Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
    • Del Negro M, Schorfheide F. 2008. Forming priors for DSGE models (and how it affects the assessment of nominal rigidities). Journal of Monetary Economics 55: 1191-1208.
    • (2008) Journal of Monetary Economics , vol.55 , pp. 1191-1208
    • Del Negro, M.1    Schorfheide, F.2
  • 12
    • 84945763545 scopus 로고
    • Forecasting and conditional projection using realistic prior distributions
    • Doan T, Litterman R, Sims C. 1984. Forecasting and conditional projection using realistic prior distributions. Econometric Reviews 3: 1-144.
    • (1984) Econometric Reviews , vol.3 , pp. 1-144
    • Doan, T.1    Litterman, R.2    Sims, C.3
  • 13
    • 0141799949 scopus 로고    scopus 로고
    • Do financial variables help forecasting inflation and real activity in the Euro Area?
    • Forni M, Hallin M, Lippi M, Reichlin L. 2003. Do financial variables help forecasting inflation and real activity in the Euro Area? Journal of Monetary Economics 50: 1243-1255.
    • (2003) Journal of Monetary Economics , vol.50 , pp. 1243-1255
    • Forni, M.1    Hallin, M.2    Lippi, M.3    Reichlin, L.4
  • 14
    • 36148996468 scopus 로고    scopus 로고
    • Bayesian stochastic search for VAR model restrictions
    • George E, Sun D, Ni S. 2008. Bayesian stochastic search for VAR model restrictions. Journal of Econometrics 142: 553-580.
    • (2008) Journal of Econometrics , vol.142 , pp. 553-580
    • George, E.1    Sun, D.2    Ni, S.3
  • 15
    • 78650951831 scopus 로고    scopus 로고
    • Hierarchical Markov normal mixture models with applications to financial asset returns
    • Geweke J, Amisano J. 2011. Hierarchical Markov normal mixture models with applications to financial asset returns. Journal of Applied Econometrics 26: 1-29.
    • (2011) Journal of Applied Econometrics , vol.26 , pp. 1-29
    • Geweke, J.1    Amisano, J.2
  • 16
    • 84874022996 scopus 로고    scopus 로고
    • Prior selection for vector autoregressions. Working paper, Université Libre de Bruxelles).
    • Giannone M, Lenza M, Primiceri G. 2010. Prior selection for vector autoregressions. Working paper, Université Libre de Bruxelles).
    • (2010)
    • Giannone, M.1    Lenza, M.2    Primiceri, G.3
  • 17
    • 77649272473 scopus 로고    scopus 로고
    • Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
    • Jochmann M, Koop G, Strachan R. 2010. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting 26: 326-347.
    • (2010) International Journal of Forecasting , vol.26 , pp. 326-347
    • Jochmann, M.1    Koop, G.2    Strachan, R.3
  • 18
    • 0039646598 scopus 로고    scopus 로고
    • Numerical methods for estimation and inference in Bayesian VAR models
    • Kadiyala K, Karlsson S. 1997. Numerical methods for estimation and inference in Bayesian VAR models. Journal of Applied Econometrics 12: 99-132.
    • (1997) Journal of Applied Econometrics , vol.12 , pp. 99-132
    • Kadiyala, K.1    Karlsson, S.2
  • 19
    • 79955980531 scopus 로고    scopus 로고
    • Bayesian multivariate time series methods for empirical macroeconomics
    • Koop G, Korobilis D. 2009. Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics 3: 267-358.
    • (2009) Foundations and Trends in Econometrics , vol.3 , pp. 267-358
    • Koop, G.1    Korobilis, D.2
  • 20
    • 34248162425 scopus 로고    scopus 로고
    • Forecasting in dynamic factor models using Bayesian model averaging
    • Koop G, Potter S. 2004. Forecasting in dynamic factor models using Bayesian model averaging. The Econometrics Journal 7: 550-565.
    • (2004) The Econometrics Journal , vol.7 , pp. 550-565
    • Koop, G.1    Potter, S.2
  • 21
    • 57349129005 scopus 로고    scopus 로고
    • Forecasting in vector autoregressions with many predictors
    • Vol., Emerald Group: Bingley, UK
    • Korobilis D. 2008. Forecasting in vector autoregressions with many predictors. In Advances in Econometrics, Bayesian Macroeconometrics, Vol. 23, Emerald Group: Bingley, UK; 409-431.
    • (2008) Advances in Econometrics, Bayesian Macroeconometrics , vol.23 , pp. 409-431
    • Korobilis, D.1
  • 22
    • 84952504842 scopus 로고
    • Forecasting with Bayesian vector autoregressions: five years of experience
    • Litterman R. 1986. Forecasting with Bayesian vector autoregressions: five years of experience. Journal of Business and Economic Statistics 4: 25-38.
    • (1986) Journal of Business and Economic Statistics , vol.4 , pp. 25-38
    • Litterman, R.1
  • 23
    • 33747879841 scopus 로고    scopus 로고
    • A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    • Marcellino M, Stock J, Watson M. 2006. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics 135: 499-526.
    • (2006) Journal of Econometrics , vol.135 , pp. 499-526
    • Marcellino, M.1    Stock, J.2    Watson, M.3
  • 24
    • 17944363580 scopus 로고    scopus 로고
    • Revising beliefs in non-identified models
    • Poirier D. 1998. Revising beliefs in non-identified models. Econometric Theory 14: 483-509.
    • (1998) Econometric Theory , vol.14 , pp. 483-509
    • Poirier, D.1
  • 26
    • 67649342377 scopus 로고    scopus 로고
    • Forecasting using many predictors
    • Vol., Elliott G, Granger C, Timmerman A (eds). North-Holland: Amsterdam
    • Stock J, Watson M. 2006. Forecasting using many predictors. in Handbook of Economic Forecasting, Vol. 1, Elliott G, Granger C, Timmerman A (eds). North-Holland: Amsterdam; 515-554.
    • (2006) Handbook of Economic Forecasting , vol.1 , pp. 515-554
    • Stock, J.1    Watson, M.2
  • 28
    • 67651247362 scopus 로고    scopus 로고
    • Steady-state priors for vector autoregressions
    • Villani M. 2009. Steady-state priors for vector autoregressions. Journal of Applied Econometrics 24: 630-650.
    • (2009) Journal of Applied Econometrics , vol.24 , pp. 630-650
    • Villani, M.1
  • 29
    • 84874017690 scopus 로고    scopus 로고
    • Evaluating real-time VAR forecasts with an informative democratic prior. Working paper, Federal Reserve Bank of Philadelphia.
    • Wright J. 2011. Evaluating real-time VAR forecasts with an informative democratic prior. Working paper, Federal Reserve Bank of Philadelphia.
    • (2011)
    • Wright, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.