Forecasting in vector autoregressions with many predictors

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle with methods and diagnostics used in traditional small-scale models. First, available information from a large dataset is su...

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Bibliographic details
Volume: 23
Main Author: Korobilis, Dimitris
Format: Book Chapter
Language: English
Place of publication: Emerald Group Publishing Limited 20080000
published in: Bayesian Econometrics Vol. 23; pp. 403 - 431
Data of publication: 20080000
ISBN: 9781848553088
EISBN: 9781848553095
ISSN: 0731-9053
Discipline: Economics
Online Access: Fulltext
Database: Database information not found
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