Österholm, P. A structural bayesian var for model-based fan charts. 2008 Applied Economics. 40 1557-1569
Österholm, P. Can forecasting performance be improved by considering the steady state? an application to swedish inflation and interest rate. 2008 Journal of Forecasting. 27 41-51
Adolfson, M. ; Andersson, M.K. ; Linde, J. ; Villani, M. ; Vredin, A. Modern forecasting models in action: improving macroeconomic analyses at central banks. 2007 International Journal of Central Banking. 3 111-144
Adolfson, M. ; Lasen, S. ; Lind, J. ; Villani, M. Evaluating an estimated new keynesian small open economy model. 2008 Journal of Economic Dynamics and Control. 32 2690-2721
- Anderson, T.W. An Introduction to Multivariate Statistical Analysis. 1984 John Wiley & Sons: New York
Paper not yet in RePEc: Add citation now
Andersson, M.K., Palmqvist, S., Waggoner, D.F., 2010. Density conditional forecasts in dynamic multivariate models, Working Paper Series 247. Sveriges Riksbank.
Banbura, M. ; Giannone, D. ; Reichlin, L. Large bayesian vector auto regressions. 2010 Journal of Applied Econometrics. 25 71-92
- Barbieri, M.M. ; Berger, J.O. Optimal predictive model selection. 2004 The Annals of Statistics. 32 870-897
Paper not yet in RePEc: Add citation now
Bauwens, L. ; Lubrano, M. Identification restrictions and posterior densities in cointegrated gaussian var systems. 1996 En : . JAI Press:
Beechey, M. ; Österholm, P. Forecasting inflation in an inflation-targeting regime: a role for informative steady-state priors. 2010 International Journal of Forecasting. 26 248-264
Bernanke, B. ; Boivin, J. ; Eliasz, P. Measuring the effect of monetary policy: a factor augmented vector autoregressive (FAVAR) approach. 2005 Quarterly Journal of Economics. 120 387-422
Bloor, C. ; Matheson, T. Analysing shock transmission in a data-rich environment: a large bvar for new zealand. 2010 Empirical Economics. 39 537-558
Bloor, C. ; Matheson, T.D. Real-time conditional forecasts with bayesian vars: an application to new zealand. 2011 The North American Journal of Economics and Finance. 22 26-42
- Brooks, S.P. Quantitative convergence assessment for markov chain monte carlo via cusums. 1998 Statistics and Computing. 8 267-274
Paper not yet in RePEc: Add citation now
- Brown, P.J. ; Vanucci, M. ; Fearn, T. Multivariate bayesian variable selection and prediction. 1998 Journal of the Royal Statistical Society Series B. 60 627-641
Paper not yet in RePEc: Add citation now
Canova, F. G-7 inflation forecasts: random walk, phillips curve or what else?. 2007 Macroeconomic Dynamics. 11 1-30
Canova, F. ; Ciccarelli, M. Estimating multicountry var models. 2009 International Economic Review. 50 929-959
Canova, F. ; Ciccarelli, M. Forecasting and turning point predictions in a bayesian panel var model. 2004 Journal of Econometrics. 120 327-359
Carriero, A. ; Kapetanios, G. ; Marcellino, M. Forecasting exchange rates with a large bayesian var. 2009 International Journal of Forecasting. 25 400-417
Carriero, A. ; Kapetanios, G. ; Marcellino, M. Forecasting government bond yields with large bayesian vector autoregressions. 2012 Journal of Banking & Finance. 36 2026-2047
Carriero, A. ; Kapetanios, G. ; Marcellino, M. Forecasting large datasets with bayesian reduced rank multivariate models. 2011 Journal of Applied Econometrics. 26 735-761
Carriero, A., Clark, T., Marcellino, M., 2011. Bayesian Vars: Specification Choices and Forecast Accuracy. Working Paper 1112. Federal Reserve Bank of Cleveland.
- Carter, C.K. ; Kohn, R. On gibbs sampling for state space models. 1994 Biometrika. 81 541-553
Paper not yet in RePEc: Add citation now
Chib, S. Estimation and comparison of multiple change point models. 1998 Journal of Econometrics. 86 221-241
- Chib, S. Marginal likelihood from the Gibbs output. 1995 Journal of the American Statistical Association. 90 1313-1321
Paper not yet in RePEc: Add citation now
- Chib, S. ; Greenberg, E. Understanding the Metropolis–Hastings algorithm. 1995 American Statistician. 40 327-335
Paper not yet in RePEc: Add citation now
Clark, T.E. Real-time density forecasts from bayesian vector autoregressions with stochastic volatility. 2011 Journal of Business & Economic Statistics. 29 327-341
Clark, T.E. ; McCracken, M.W. Averaging forecasts from VARs with uncertain instabilities. 2010 Journal of Applied Econometrics. 25 5-29
Cogley, T. ; Morozov, S. ; Sargent, T.J. Bayesian fan charts for u.k. inflation: forecasting and sources of uncertainty in an evolving monetary system. 2005 Journal of Economic Dynamics and Control. 29 1893-1925
Cogley, T. ; Sargent, T.J. Drifts and volatilities: monetary policies and outcomes in the post wwii us. 2005 Review of Economic Dynamics. 8 262-302
Cogley, T. ; Sargent, T.J. Evolving post-world war ii US inflation dynamics. 2002 En : . Inc, National Bureau of Economic Research:
Corradi, V. Swanson, N.R. 2006, Predictive density evaluation, in Elliott et al. (2006), pp. 197–284.
D’Agostino, A. ; Gambetti, L. ; Giannone, D. Macroeconomic forecasting and structural change. 2013 Journal of Applied Econometrics. 28 82-101
De Mol, C. ; Giannone, D. ; Reichlin, L. Forecasting using a large number of predictors: is bayesian regression a valid alternative to principal components?. 2008 Journal of Econometrics. 146 318-328
DeJong, D.N. Co-integration and trend-stationarity in macroeconomic time series: evidence from the likelihood function. 1992 Journal of Econometrics. 52 347-370
- DelNegro, M., Schorfheide, F., 2011. Bayesian methods in microeconometrics, in Clements et al. (2011), pp. 293–389 (Chapter 7).
Paper not yet in RePEc: Add citation now
- Dickey, J.M. The weighted likelihood ratio, linear hypothesis on normal location parameters. 1971 The Annals of Mathematical Statistics. 42 204-223
Paper not yet in RePEc: Add citation now
- Doan, T. ; Litterman, R.B. ; Sims, C. Forecasting and conditional projection using realistic prior distributions. 1984 Econometric Reviews. 3 1-144
Paper not yet in RePEc: Add citation now
Dorfman, J.H. A numerical bayesian test for cointegration of ar processes. 1995 Journal of Econometrics. 66 289-324
- Drèze, J.H. ; Morales, J.A. Bayesian full information analysis of simultaneous equations. 1976 Journal of the American Statistical Association. 71 919-923
Paper not yet in RePEc: Add citation now
Durbin, J. ; Koopman, S.J. Time Series Analysis by State Space Methods. 2001 Oxford University Press:
Forni, M. ; Hallin, M. ; Lippi, M. ; Reichlin, L. Do financial variables help forecasting inflation and real activity in the euro area?. 2003 Journal of Monetary Economics. 50 1243-1255
- Gamerman, D. Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference. 1997 Chapman & Hall:
Paper not yet in RePEc: Add citation now
- Gelman, A. Inference and monitoring convergence. 1996 En : Gilks, W.R. ; Richardson, S. ; Spiegelhalter, D.J. . Chapman and Hall:
Paper not yet in RePEc: Add citation now
- Gelman, A. ; Carlin, J.B. ; Stern, H.S. ; Rubin, D.B. Bayesian Data Analysis. 2003 Chapman and Hall/CRC:
Paper not yet in RePEc: Add citation now
- Gelman, A. ; Rubin, D.B. Inference from iterative simulation using multiple sequences. 1992 Statistical Science. 7 457-511
Paper not yet in RePEc: Add citation now
- George, E.I. ; McCulloch, R.E. Variable selection via gibbs sampling. 1993 Journal of the American Statistical Association. 88 881-889
Paper not yet in RePEc: Add citation now
George, E.I. ; Sun, D. ; Ni, S. Bayesian stochastic search for var model restrictions. 2008 Journal of Econometrics. 142 553-580
Geweke, J. Antithetic acceleration of monte carlo integration in bayesian inference. 1988 Journal of Econometrics. 38 73-89
Geweke, J. Bayesian inference in econometric models using monte carlo integration. 1989 Econometrica. 57 1317-1339
Geweke, J. Bayesian reduced rank regression in econometrics. 1996 Journal of Econometrics. 75 121-146
- Geweke, J. Contemporary Bayesian Econometrics and Statistics. 2005 Wiley-Interscience:
Paper not yet in RePEc: Add citation now
- Geweke, J. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. 1992 En : Bernardo, J.M. ; Berger, J.O. ; David, A.P. ; Smith, A.F.M. . Clarendon Press:
Paper not yet in RePEc: Add citation now
Geweke, J. Using simulation methods for bayesian econometric models: inference, development and communication. 1999 Econometric Reviews. 18 126-
- Geweke, J. Variable selection and model comparison in regression. 1996 En : Bernardo, J.M. ; Berger, J.O. ; David, A.P. ; Smith, A.F.M. . Oxford University Press:
Paper not yet in RePEc: Add citation now
Geweke, J. Whiteman, C.H., 2006. Bayesian forecasting, in Elliott et al. (2006), pp. 3–80 (Chapter 1).
Giannone, D., Lenza, M. Primiceri, G.E., 2012. Prior selection for vector autoregressions, Working Papers ECARES ECARES 2012–002, ULB–Universite Libre de Bruxelles.
- Giordini, P., Pitt, M., Kohn, R., 2011. Bayesian inference for time series state space models, in Clements et al. (2011), pp. 61–124 (Chapter 3).
Paper not yet in RePEc: Add citation now
Gupta, R. ; Kabundi, A. Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale model. 2010 Journal of Forecasting. 29 168-186
- Harvey, A.C. Forecasting. 1989 Cambridge University Press:
Paper not yet in RePEc: Add citation now
- Highfield, R.A., 1987. Forecasting with Bayesian State Space Models, PhD thesis, Graduate School of Business, University of Chicago.
Paper not yet in RePEc: Add citation now
Jarociński, M. Conditional forecasts and uncertainty about forecast revisions in vector autoregressions. 2010 Economics Letters. 108 257-259
- Jarociński, M., Maćkowiak, B., 2011. Choice of variables in vector autoregressions. Manuscript.
Paper not yet in RePEc: Add citation now
Jochmann, M. ; Koop, G. ; Strachan, R. Bayesian forecasting using stochastic search variable selection in a var subject to breaks. 2010 International Journal of Forecasting. 26 326-347
- Kadiyala, K.R. ; Karlsson, S. Forecasting with generalized bayesian vector autoregressions. 1993 Journal of Forecasting. 12 365-378
Paper not yet in RePEc: Add citation now
Kadiyala, K.R. ; Karlsson, S. Numerical methods for estimation and inference in bayesian var-models. 1997 Journal of Applied Econometrics. 12 99-132
Karlsson, S., 2012. Conditional posteriors for the reduced rank regression model, Working Papers 2012:11. Örebro University Business School.
- Kim, C. ; Nelson, C.R. State Space Models with Regime Switching. 1999 MIT Press:
Paper not yet in RePEc: Add citation now
Kim, S. ; Shephard, N. ; Chib, S. Stochastic volatility: Likelihood inference and comparison with arch models. 1998 The Review of Economic Studies. 65 361-393
Kleibergen, F. ; van Dijk, H.K. On the shape of the likelihood/posterior in cointegration models. 1994 Econometric Theory. 1 514-551
Kloek, T. ; van Dijk, H.K. Bayesian estimates of equation system parameters: An application of integration by monte carlo. 1978 Econometrica. 46 1-19
- Koop, G. Bayesian Econometrics. 2003 John Wiley & Sons: Chichester
Paper not yet in RePEc: Add citation now
Koop, G. Forecasting with medium and large bayesian vars. 2013 Journal of Applied Econometrics. 28 177-203
Koop, G. ; Korobilis, D. Bayesian multivariate time series methods for empirical macroeconomics. 2009 Foundations and Trends in Econometrics. 3 267-358
Koop, G. ; León-González, R. ; Strachan, R.W. Efficient posterior simulation for cointegrated models with priors on the cointegration space. 2010 Econometric Reviews. 29 224-242
Koop, G. ; Potter, S. Estimation and forecasting in models with multiple breaks. 2007 Review of Economic Studies. 74 763-789
- Koop, G. ; Strachan, R.W. ; van Dijk, H.K. ; Villani, M. Bayesian approaches to cointegration. 2006 En : Mills, T.C. ; Patterson, K. . Palgrave McMillan:
Paper not yet in RePEc: Add citation now
Korobilis, D. Hierarchical shrinkage priors for dynamic regressions with many predictors. 2013 International Journal of Forecasting. 29 43-59
Korobilis, D. Var forecasting using bayesian variable selection. 2013 Journal of Applied Econometrics. 28 204-230
Korobilis, D., 2008. Forecasting in vector autoregressions with many predictors, in Chib et al. (2008), pp. 403–431.
- Lütkepohl, H., 2006, Forecasting with VARMA models, in Elliott et al. (2006), pp. 287–325 (Chapter 6).
Paper not yet in RePEc: Add citation now
- Litterman, R.B. A bayesian procedure for forecasting with vector autoregressions. 1980 Massachusetts Institute of Technology: mimeo
Paper not yet in RePEc: Add citation now
Litterman, R.B. Forecasting with bayesian vector autoregressions - five years of experience. 1986 Journal of Business & Economic Statistics. 4 25-38
Litterman, R.B., 1979. Techniques of forecasting using vector autoregressions, Working Paper 115. Federal Reserve Bank of Minneapolis.
- Madigan, D. ; York, J. Bayesian graphical models for discrete data. 1995 International Statistical Review. 63 215-232
Paper not yet in RePEc: Add citation now
McNees, S.K. Forecasting accuracy of alternative techniques: a comparison of US. macroeconomic forecasts. 1986 Journal of Business & Economic Statistics. 4 5-15
Newey, W.K. ; West, K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708
Pesaran, M.H. ; Petenuzzo, D. ; Timmermann, A. Forecasting time series subject to multiple structural breaks. 2006 Review of Economic Studies. 73 1057-1084
Peters, G.W. ; Kannan, B. ; Lassock, B. ; Mellen, C. Model selection and adaptive markov chain monte carlo for bayesian cointegrated var-models. 2010 Bayesian Analysis. 5 465-492
Primiceri, G.E. Time varying structural vector autoregressions and monetary policy. 2005 The Review of Economic Studies. 72 821-852
- Robert, C.P. ; Casella, G. . 1999 Springer Verlag:
Paper not yet in RePEc: Add citation now
Robertson, J.C. ; Tallman, E.W. ; Whiteman, C.H. Forecasting using relative entropy. 2005 Journal of Money, Credit and Banking. 37 383-401
Rothenberg, T.J. Identification in parametric models. 1971 Econometrica. 39 577-599
Rubio-Ramirez, J.F. ; Waggoner, D.F. ; Zha, T. Structural vector autoregressions: theory of identification and algorithms for inference. 2010 The Review of Economic Studies. 77 665-696
- Schwarz, G. Estimating the dimension of a model. 1978 The Annals of Statistics. 6 461-464
Paper not yet in RePEc: Add citation now
Sims, C.A. A nine-variable probabalistic macroeconomic forecasting model. 1993 En : Stock, J.H. ; Watson, M.W. Business Cycles. University of Chicago Press:
Sims, C.A. Macroeconomics and reality. 1980 Econometrica. 48 1-48
Sims, C.A. ; Zha, T. Bayesian methods for dynamic multivariate models. 1998 International Econom Review. 39 949-968
Smith, W.B. ; Hocking, R.R. Algorithm as 53: Wishart variate generator. 1972 Journal of the Royal Statistical Society, Series C (Applied Statistics). 21 341-345
Stock, J.H. ; Watson, M.W. Macroeconomic forecasting using diffusion indexes. 2002 Journal of Business & Economic Statistics. 20 147-162
Stock, J.H. Watson, M.W. 2006, Forecasting with many predictors, in Elliott et al. (2006) (Chapter 10).
Strachan, R. Valid bayesian estimation of the cointegrating error correction model. 2003 Journal of Business & Economic Statistics. 21 185-195
Strachan, R. ; Inder, B. Bayesian analysis of the error correction model. 2004 Journal of Econometrics. 123 307-325
Sugita, K. A monte carlo comparison of bayesian testing for cointegration rank. 2009 Economics Bulletin. 29 2145-2151
Sugita, K., 2002. Testing for cointegration rank using bayes factors, Warwick Economic Research Papers 654. University of Warwick.
- Theil, H. ; Goldberger, A.S. On pure and mixed statistical estimation in economics. 1960 International Economic Review. 2 65-78
Paper not yet in RePEc: Add citation now
- Tierny, L. Markov chains for exploring posterior distributions. 1994 The Annals of Statistics. 22 1701-1762
Paper not yet in RePEc: Add citation now
Timmermann, A., 2006. Forecast combinations, in Elliott et al. (2006) (chapter 4).
- Verdinelli, I. ; Wasserman, L. Computing bayes factors using a generalization of the Savage–Dickey density ratio. 1995 Journal of the American Statistical Association. 90 614-618
Paper not yet in RePEc: Add citation now
Villani, M. Bayesian prediction with cointegrated vector autoregressions. 2001 International Journal of Forecasting. 17 585-605
Villani, M. Bayesian reference analysis of cointegration. 2005 Economtric Theory. 21 326-357
Villani, M. Steady state priors for vector autoregressions. 2009 Journal of Applied Econometrics. 24 630-650
- Villani, M., 2000, Aspects of Bayesian Cointegration, PhD thesis, Stockholm University.
Paper not yet in RePEc: Add citation now
Waggoner, D.F. ; Zha, T. A Gibbs sampler for structural vector autoregressions. 2003 Journal of Economic Dynamics & Control. 28 349-366
Waggoner, D.F. ; Zha, T. Conditional forecasts in dynamic multivariate models. 1999 The Review of Economics and Statistics. 81 639-651
Waggoner, D.F. ; Zha, T. Likelihood preserving normalization in multiple equation models. 2003 Journal of Econometrics. 114 329-347
- West, M. ; Harrison, P. Bayesian Forecasting and Dynamic Models. 1997 Springer:
Paper not yet in RePEc: Add citation now
Wright, J.H., 2010. Evaluating real-time var forecasts with an informative democratic prior, Working Papers 10–19. Federal Reserve Bank of Philadelphia.
- Yu, B. ; Mykland, P. Looking at Markov samplers through cusum path plots. a simple diagnostic idea. 1998 Statistics and Computing. 8 275-286
Paper not yet in RePEc: Add citation now
- Zellner, A. An Introduction to Bayesian Inference in Econometrics. 1971 John Wiley & Sons:
Paper not yet in RePEc: Add citation now
Zha, T. Block recursion and structural vector autoregressions. 1999 Journal of Econometrics. 90 291-316