distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small … and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area …

with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The …

This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We … 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 …

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting …

’s forecasting performance relative to a number of benchmarks, including a Bayesian VAR. We finally consider several applications to … illustrate the potential contributions the NAWM can make to forecasting and policy analysis. …

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …