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Bayesian Forecast Combination for VAR Models

Andersson, Michael K; Karlsson, Sune - 2007

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key di erence from traditional Bayesian variable selection is that we also allow for uncertainty...

Persistent link: https://www.econbiz.de/10012654331

Is the US Phillips Curve Stable? Evidence from Bayesian VARs

Karlsson, Sune; Österholm, Pär - 2018

Inflation did not fall as much as many economists expected as the Great Recession hit the US economy. One explanation suggested for this phenomenon is that the Phillips curve has become flatter. In this paper we investigate the stability of the US Phillips curve, employing Bayesian VARs to...

Persistent link: https://www.econbiz.de/10012654433

The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?

Karlsson, Sune; Österholm, Pär - 2019

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...

Persistent link: https://www.econbiz.de/10012654449

Flexible Fat-tailed Vector Autoregression

Karlsson, Sune; Mazur, Stepan - 2020

We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace … same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As …. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in …

Persistent link: https://www.econbiz.de/10012654459

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

more realistic assumption of the multivariate distribution of the macroeconomic variables. We propose a general class of …

Persistent link: https://www.econbiz.de/10012654478

An Embarrassment of Riches: Forecasting Using Large Panels

Eklund, Jana; Karlsson, Sune - 2007

The increasing availability of data and potential predictor variables poses new challenges to forecasters. The task of formulating a single forecasting model that can extract all the relevant information is becoming increasingly difficult in the face of this abundance of data. The two leading...

Persistent link: https://www.econbiz.de/10012654322

Computational Efficiency in Bayesian Model and Variable Selection

Eklund, Jana; Karlsson, Sune - 2007

Large scale Bayesian model averaging and variable selection exercises present, despite the great increase in desktop computing power, considerable computational challenges. Due to the large scale it is impossible to evaluate all possible models and estimates of posterior probabilities are...

Persistent link: https://www.econbiz.de/10012654323

Forecasting with Bayesian Vector Autoregressions

Karlsson, Sune - 2012

Prepared for the Handbook of Economic Forecasting, vol 2 This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...

Persistent link: https://www.econbiz.de/10012654382

A Note on the Stability of the Swedish Philips Curve

Karlsson, Sune; Österholm, Pär - 2018

We use Bayesian techniques to estimate bivariate VAR models for Swedish unemployment rate and inflation. Employing quarterly data from 1995Q1 to 2017Q3 and new tools for model selection, we compare a model with time-varying parameters and stochastic volatility to a specification with constant...

Persistent link: https://www.econbiz.de/10012654434