Forecasting with High‐Dimensional Panel VARs

This paper develops methods for estimating and forecasting in Bayesian panel vector autoregressions of large dimensions with time‐varying parameters and stochastic volatility. We exploit a hierarchical prior that takes into account possible pooling restrictions involving both VAR coefficients and th...

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Bibliographic details
Volume:	81
Main Author:	Koop, Gary Korobilis, Dimitris
Format:	Journal Article
Language:	English
Zielgruppe:	Academic
Place of publication:	HOBOKEN WILEY 01.10.2019 Wiley Subscription Services, Inc
published in:	Oxford bulletin of economics and statistics Vol. 81; no. 5; pp. 937 - 959
ORCID:	0000-0001-9146-3008
Data of publication:	October 2019
ISSN:	0305-9049 1468-0084
EISSN:	1468-0084
Discipline:	Economics Statistics Mathematics
Bibliography:	We want to thank Ana Galvao, Tony Garratt, George Kapetanios, James Mitchell, Ivan Petrella, Rob Taylor and participants at the 9th European Central Bank Workshop on Forecasting Techniques; the Bank of England workshop on Time‐Variation in Econometrics and Macroeconomics; and the 10th RCEA Bayesian Econometric Workshop, for helpful comments and discussions. All remaining errors are ours.
Subjects:	Economics Statistics & Probability Physical Sciences Social Sciences Social Sciences, Mathematical Methods Business & Economics Mathematics Mathematical Methods In Social Sciences Science & Technology Value-added resellers Models Algorithms Central banks Analysis MODEL UNCERTAINTY
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Science Citation Index Expanded - 2019 Web of Knowledge Science Citation Index Expanded Web of Science - Social Sciences Citation Index – 2019 Web of Science CrossRef Gale General OneFile (A&I only) Academic OneFile (A&I only) Database information Databases - DBIS