Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

DOI10.1515/snde-2015-0084OpenAlexW2271136997MaRDI QIDQ2691699

Tim Oliver Berg

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-2015-0084

zbMATH Keywords

BVARnonlinearityforecastingzero lower bound

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)

Related Items (1)

Macroeconomic uncertainty and forecasting macroeconomic aggregates

Cites Work

• Unnamed Item
• Understanding predictive information criteria for Bayesian models
• Measuring the stance of monetary policy in zero lower bound environments
• Thresholds and Smooth Transitions in Vector Autoregressive Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Forecasting Performance of an Open Economy DSGE Model
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product

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