Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008
build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation … to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional … York Fed, the Cleveland
Fed, the Chicago Fed, the ECB, the Bank of England, Queen Mary University, University of Rome Tor …