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Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy
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Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy (2019)Combining survey long-run forecasts and n…Prior Selection for Vector Autoregressions (2014)Prior Selection for Vector Au…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Do macro variables, asset markets, or surveys forecast inflation better? (2007)Do macro variables, asset mar…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…Bayesian Methods for Dynamic Multivariate Models (1998)Bayesian Methods for Dynamic …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyForecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Elicitation of Personal Probabilities and Expectations (1971)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)Macroeconomics and Reality (1980)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Introductory Econometrics for Finance (2008)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
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  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
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  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited

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2014
Prior Selection for Vector Autoregressions
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