“...This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least...”

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

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

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

“...We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the...”

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