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Encompassing univariate models in multivariate time series : a case study
Maravall Herrero, Agustín - 1992
Persistent link: https://www.econbiz.de/10013419681
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A flexible mixed-frequency vector autoregression with a steady-state prior
Ankargren, Sebastian; Unosson, Måns; Yang, Yukai - In: Journal of time series econometrics 12 (2020) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10012300798
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Three essays on model selection in time series econometrics : model averaging, causal graphs, and structural identification
Aka, Niels Mariano - 2021
Persistent link: https://www.econbiz.de/10013175078
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Factor vector autoregressive estimation : a new approach
Bagliano, Fabio C.; Morana, Claudio - In: Journal of economic interaction and coordination : JEIC 3 (2008) 1, pp. 15-23
Persistent link: https://www.econbiz.de/10003715656
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Macroeconomic forecasting in a multi-country context
Bai, Yu; Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022
Persistent link: https://www.econbiz.de/10012806332
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A hitchhiker guide to empirical macro models
Canova, Fabio; Ferroni, Filippo - 2020
Persistent link: https://www.econbiz.de/10012321243
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Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo; Rodriguez, Gabriel - In: Review of world economics 159 (2023) 2, pp. 505-544
Persistent link: https://www.econbiz.de/10014308071
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Factor Vector Autoregressive Estimation : A New Approach
Morana, Claudio - 2013
In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. In addition to sharing all the relevant features of the Stock and Watson (2005) approach, in its static formulation, the proposed method has the advantage of allowing for a...
Persistent link: https://www.econbiz.de/10012754070
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Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling
Taiebnia, Ali; Mohammadi, Shapour - In: Journal of forecasting 42 (2023) 8, pp. 2045-2062
Persistent link: https://www.econbiz.de/10014432847
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VARX-L : structured regularization for large vector autoregressions with exogenous variables
Nicholson, William B.; Matteson, David S.; Bien, Jacob - In: International journal of forecasting 33 (2017) 3, pp. 627-651
Persistent link: https://www.econbiz.de/10011746195