“...This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide...”

“...This paper examines the properties of Bayes shrinkage estimators for dynamic regressions that are based on hierarchical versions of the typical normal prior...”

“...We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods that incorporate dynamic model averaging. These methods...”

“...Macroeconomists are increasingly working with large Vector Autoregressions (VARs) where the number of parameters vastly exceeds the number of observations...”

“...We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or...”

“...In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation...”

“...Summary We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety...”

“...This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their...”

“...In this paper we consider the determinants of regional disparities in unemployment rates for the UK regions at NUTS‐II level. We use a mixture panel data model...”

“...This paper examines the performance of Bayesian model averaging (BMA) methods in a quantile regression model for inflation. Different predictors are allowed to...”