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

“...This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models...”

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

“...The scope of this chapter is to introduce applied macroeconomists to the world of Bayesian estimation methods. Why would an empirical macroeconomist invest in...”

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

“...We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that...”

“...This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector...”

“...This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector...”