Macroeconomic uncertainty and forecasting macroeconomic aggregates

DOI10.1515/SNDE-2019-0073OpenAlexW2898826506MaRDI QIDQ2699611

Magnus Reif

Publication date: 19 April 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-2019-0073

zbMATH Keywords

BVARuncertaintynonlinearityforecastingthreshold VAR

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• bvarsv

Cites Work

• Oil price forecastability and economic uncertainty
• Impulse response analysis in nonlinear multivariate models
• Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
• Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
• Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
• The Impact of Uncertainty Shocks
• Uncertainty, Investment, and Industry Evolution
• Forecasting and conditional projection using realistic prior distributions
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Forecasting Performance of an Open Economy DSGE Model
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Time Varying Structural Vector Autoregressions and Monetary Policy

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