Structural analysis with multivariate autoregressive index models

DOI10.1016/j.jeconom.2016.02.002zbMath1420.62372OpenAlexW1898516540MaRDI QIDQ281034

Massimiliano Marcellino, Andrea Carriero, George Kapetanios

Publication date: 10 May 2016

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

Full work available at URL: http://hdl.handle.net/11585/714513

zbMATH Keywords

forecastingstructural analysisfactor modelslarge datasetsBayesian VARsmultivariate autoregressive index modelsreduced rank regressions

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

Structural analysis with multivariate autoregressive index models ⋮ Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR ⋮ Bayesian compressed vector autoregressions ⋮ A state-space approach to time-varying reduced-rank regression

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