Forecasting the UK economy with a medium-scale Bayesian VAR
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DOI: 10.1016/j.ijforecast.2018.11.004
Abstract: Abstract We estimate a Bayesian VAR (BVAR) for the UK economy and assess its performance in forecasting GDP growth and CPI inflation in real time relative to forecasts from COMPASS, the Bank of England’s DSGE… read more here.
Keywords: forecasting economy; bayesian var; inflation; var ... See more keywords
Bayesian VAR forecasts, survey information, and structural change in the euro area
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DOI: 10.1016/j.ijforecast.2020.11.001
Abstract: Abstract We incorporate external information extracted from the European Central Bank’s Survey of Professional Forecasters into the predictions of a Bayesian VAR using entropic tilting and soft conditioning. The resulting conditional forecasts significantly improve the… read more here.
Keywords: var forecasts; survey information; bayesian var; survey ... See more keywords
Regularizing priors for Bayesian VAR applications to large ecological datasets
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DOI: 10.7717/peerj.14332
Abstract: Using multi-species time series data has long been of interest for estimating inter-specific interactions with vector autoregressive models (VAR) and state space VAR models (VARSS); these methods are also described in the ecological literature as… read more here.
Keywords: priors bayesian; inter specific; bayesian var; var ... See more keywords