Search Results - "Korobilis, Dimitris"

Journal Article

On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK

by Gilmartin, Michelle Korobilis, Dimitris Published in Scottish journal of political economy (2012)

Publication

Variational Bayes inference in high-dimensional time-varying parameter models

by Koop, Gary Korobilis, Dimitris
15.07.2018

“...This paper proposes a mean field variational Bayes algorithm for efficient posterior and predictive inference in time-varying parameter models. Our approach...”

Publication

Quantile forecasts of inflation under model uncertainty

by Korobilis, Dimitris
01.04.2015

“...Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model...”

Publication

Prior selection for panel vector autoregressions

by Korobilis, Dimitris
01.04.2015

“...There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that...”

Publication

Quantile forecasts of inflation under model uncertainty

by Korobilis, Dimitris
01.04.2015

“...Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model...”

Publication

Prior selection for panel vector autoregressions

by Korobilis, Dimitris
01.04.2015

“...Bayesian shrinkage priors have been very popular in estimating vector autoregressions (VARs) of possibly large dimensions. Many of these priors are not...”

Journal Article

Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors

by Korobilis, Dimitris Published in SSRN Electronic Journal

Paper

Prior selection for panel vector autoregressions

by Korobilis, Dimitris
2015

Paper

Quantile forecasts of inflation under model uncertainty

by Korobilis, Dimitris
2015

Journal Article

UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so?

by Koop, Gary Korobilis, Dimitris Published in Economic modelling (2011)

Journal Article

On the sources of uncertainty in exchange rate predictability

by Byrne, Joseph P Korobilis, Dimitris Ribeiro, Pinho J
01.02.2018

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

Publication

Data-based priors for vector autoregressions with drifting coefficients

by Korobilis, Dimitris
01.01.2014

“...This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices...”

Paper

Data-based priors for vector autoregressions with drifting coefficients

by Korobilis, Dimitris
2014

Journal Article

Exchange rate predictability in a changing world

by Byrne, Joseph Korobilis, Dimitris Ribeiro, Pinho J
01.04.2016

“...An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world, however, Taylor rule parameters...”