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
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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
EISSN: 1468-0084
Discipline: Economics
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.
Online Access: available in Bonn?
Database: Web of Knowledge
Web of Science - Social Sciences Citation Index – 2019
Web of Science - Science Citation Index Expanded - 2019
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