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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …
Persistent link: https://www.econbiz.de/10012143851
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …
Persistent link: https://www.econbiz.de/10013187449
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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014320848
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Shadow-Rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014352599
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Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
Carriero, Andrea - 2020
comparably to quantile regression for estimating and forecasting tail risks, complementing BVARs' established performance for … forecasting and structural analysis …
Persistent link: https://www.econbiz.de/10012843862
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance …
Persistent link: https://www.econbiz.de/10013047531
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Nowcasting Tail Risks to Economic Activity with Many Indicators
Carriero, Andrea - 2020
This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, as well as classical and Bayesian quantile regressions) and also different...
Persistent link: https://www.econbiz.de/10012834306
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Specification Choices in Quantile Regression for Empirical Macroeconomics
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022
Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting … apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile …
Persistent link: https://www.econbiz.de/10014077606
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are - 2015
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance …
Persistent link: https://www.econbiz.de/10013023307
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Clark, Todd E.; Carriero, Andrea; Marcellino, … - 2021
The COVID-19 pandemic has led to enormous movements in economic data that strongly affect parameters and forecasts obtained from standard VARs. One way to address these issues is to model extreme observations as random shifts in the stochastic volatility (SV) of VAR residuals. Specifically, we...
Persistent link: https://www.econbiz.de/10013241639