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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328

Persistent link: https://www.econbiz.de/10003782984

Short-term inflation projections : a Bayesian vector autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - In: International journal of forecasting 30 (2014) 3, pp. 635-644

Persistent link: https://www.econbiz.de/10010514782

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2017

). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic …

Persistent link: https://www.econbiz.de/10011754400

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time …

Persistent link: https://www.econbiz.de/10011802148

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2016

Persistent link: https://www.econbiz.de/10011502293

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013

Persistent link: https://www.econbiz.de/10011507018

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - In: International journal of forecasting 31 (2015) 3, pp. 739-756

Persistent link: https://www.econbiz.de/10011474544

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a...

Persistent link: https://www.econbiz.de/10011399325

Prior selection for vector autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - In: The review of economics and statistics 97 (2015) 2, pp. 436-451

Persistent link: https://www.econbiz.de/10011333148

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010441087