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Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
16 references·2 citing·44 second hop
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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2004Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach2,112 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1937Mr. Keynes and the "Classics"; A Suggested Interpretation1,942 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1998It's Baaack: Japan's Slump and the Return of the Liquidity Trap1,754 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
  • 1999Error Bands for Impulse Responses930 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2001Model uncertainty in cross‐country growth regressions892 cited

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  • 2003The Zero Bound on Interest Rates and Optimal Monetary Policy854 cited
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    • 2008Forecasting in vector autoregressions with many predictors26 cited
    • 2009A Monte Carlo comparison of Bayesian testing for cointegration rank11 cited