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Pooling versus model selection for nowcasting with many predictors : an application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with … forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of …

Persistent link: https://www.econbiz.de/10003811129

MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …

Persistent link: https://www.econbiz.de/10003815492

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735