Forecasting and turning point predictions in a Bayesian panel VAR model

DOI10.1016/S0304-4076(03)00216-1zbMath1282.62211OpenAlexW3122925388WikidataQ60147641 ScholiaQ60147641MaRDI QIDQ2439062

Fabio Canova, Matteo Ciccarelli

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00216-1

zbMATH Keywords

turning pointsforecastingMarkov chain Monte Carlo methodsBayesian methodspanel VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (18)

Model-based approach for scenario design: stress test severity and banks' resiliency ⋮ Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies ⋮ G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE? ⋮ Institutions and growth: a GMM/IV panel VAR approach ⋮ Do Islamic and conventional banks really differ? A panel data statistical analysis ⋮ A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies ⋮ Bayesian Dynamic Tensor Regression ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Forecasting and turning point predictions in a Bayesian panel VAR model ⋮ SIZE, OPENNESS, AND MACROECONOMIC INTERDEPENDENCE ⋮ Beta-product dependent Pitman-Yor processes for Bayesian inference ⋮ Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model ⋮ Are European business cycles close enough to be just one? ⋮ Global prediction of recessions ⋮ Some statistical aspects of methods for detection of turning points in business cycles ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Bayesian nonparametric sparse VAR models ⋮ Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• Multivariate regression models for panel data
• Statistical decision theory and Bayesian analysis. 2nd ed
• Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
• Estimating long-run relationships from dynamic heterogeneous panels
• Forecasting and turning point predictions in a Bayesian panel VAR model
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• On Gibbs sampling for state space models

This page was built for publication: Forecasting and turning point predictions in a Bayesian panel VAR model