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Bayesian VARs: Specification Choices and Forecast Accuracy
16 references·4 citing·41 second hop
Bayesian VARs: Specification Choices and Forecast Accuracy (2011)Bayesian VARs: Specification Choices and …Short-term inflation projections: A Bayesian vector autoregressive approach (2013)Short-term inflation projecti…Prior Selection for Vector Autoregressions (2012)Prior Selection for Vector Au…Variable selection, estimation and inference for multi-period forecasting problems (2011)Variable selection, estimatio…Forecasting with Medium and Large Bayesian VARS (2011)Forecasting with Medium and L…Forecasting large datasets with Bayesian reduced rank multivariate models (2010)Forecasting large datasets wi…Real-Time Density Forecasts from VARs with Stochastic Volatility (2009)Real-Time Density Forecasts f…Forecasting US inflation by Bayesian model averaging (2008)Forecasting US inflation by B…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…Finding good predictors for inflation: a Bayesian model averaging approach (2004)Finding good predictors for i…Forecasting U.S. Inflation by Bayesian Model Averaging (2003)Forecasting U.S. Inflation by…Are More Data Always Better for Factor Analysis? 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References

  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 1998Bayesian Methods for Dynamic Multivariate Models1,011 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 1986Forecasting with Bayesian vector autoregressions — Five years of experience403 cited
  • 2011Forecasting with Medium and Large Bayesian VARS385 cited
  • 2008Forecasting US inflation by Bayesian model averaging160 cited
  • 2013Short-term inflation projections: A Bayesian vector autoregressive approach114 cited
  • 2010Forecasting large datasets with Bayesian reduced rank multivariate models109 cited
  • 2003Are More Data Always Better for Factor Analysis?100 cited
  • 2011Variable selection, estimation and inference for multi-period forecasting problems94 cited
  • 2012Prior Selection for Vector Autoregressions78 cited
  • 2002Priors from General Equilibrium Models for Vars66 cited
  • 2004Finding good predictors for inflation: a Bayesian model averaging approach66 cited
  • 2009Real-Time Density Forecasts from VARs with Stochastic Volatility55 cited
  • 1986Forecasting and Conditional Projection Using Realistic Prior Distributions

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53 cited
  • 2003Forecasting U.S. Inflation by Bayesian Model Averaging47 cited
  • Cited by

    • 2014Technological Standardization, Endogenous Productivity and Transitory Dynamics66 cited
    • 2018Optimal Density Forecast Combinations32 cited
    • 2015Point and density forecasts for the euro area using Bayesian VARs29 cited
    • 2016Forecasting China's Economic Growth and Inflation10 cited