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
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: 01.12.2015
Data of publication: 2015-12-01
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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