Steady-state priors and Bayesian variable selection in VAR forecasting

DOI10.1515/SNDE-2015-0048OpenAlexW2321627409MaRDI QIDQ2691678

Dimitrios P. Louzis

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0048

zbMATH Keywords

variable selectionBayesian VARmacroeconomic forecastingsteadystates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• bvarsv

Cites Work

• The Model Confidence Set
• Bayesian stochastic search for VAR model restrictions
• Modelling breaks and clusters in the steady states of macroeconomic variables
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Forecasting in vector autoregressions with many predictors
• Forecasting and conditional projection using realistic prior distributions
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Unnamed Item

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