References contributed by pko254-8429
Aastveit, Knut Are, Andrea Carriero, Todd E. Clark, and Massimiliano Marcellino (2016) Have Standard VARs Remained Stable Since the Crisis? Journal of Applied Econometrics doi:10.1002/jae.2555
Altavilla, Carlo, Raaella Giacomini, and Giuseppe Ragusa (2017) "Anchoring the Yield Curve Using Survey Expectations," Journal of Applied Econometrics 32(6): 1055-1068 doi:10.1002/jae.2588
- Atkeson, Andrew and Lee E. Ohanian (2001) Are Phillips Curves Useful for Forecasting In ation? Federal Reserve Bank of Minneapolis Quarterly Review (Winter): 211. Retrieved from https://ideas.repec.org/a/p/fedmqr/y2001iwinp211nv.25no.1.html
Paper not yet in RePEc: Add citation now
Banbura, Marta, Domenico Giannone, and Lucrezia Reichlin (2010) Large Bayesian Vector Auto Regressions, Journal of Applied Econometrics 25: 71-92 doi:10.1002/jae.1137
Banbura, Marta, Domenico Giannone, and Michele Lenza (2015) Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections, International Journal of Forecasting, 31 (3), pages 739-756 doi:10.1016/j.ijforecast.2014.08.013
Barnett, Alina, Haroon Mumtaz, and Konstantinos Theodoridis (2014) Forecasting UK GDP Growth and In ation under Structural Change: A Comparison of Models with Time-Varying Parameters, International Journal of Forecasting, 30: 129-143 doi:10.1016/j.ijforecast.2013.06.002
- Bauwens Luc, Michel Lubrano, and Jean Francois Richard (1999) Bayesian Inference in Dynamic Econometric Models, Oxford University Press doi:10.1093/acprof:oso/9780198773122.001.0001
Paper not yet in RePEc: Add citation now
Beauchemin, Kenneth, and Saeed Zaman (2011) A Medium Scale Forecasting Model for Monetary Policy Federal Reserve Bank of Cleveland Working Paper no. 11-28. doi:/10.26509/frbc-wp-201128
Carriero, Andrea, Todd E. Clark, and Massimiliano Marcellino (2015) Bayesian VARs: Specication Choices and Forecast Accuracy, Journal of Applied Econometrics, 30(1), pp 46-73 doi:10.1002/jae.2315
- Carriero, Andrea, Todd E. Clark, and Massimiliano Marcellino (2016) Large Vector Autoregressions with Stochastic Volatility and Flexible Priors, Federal Reserve Bank of Cleveland Working Paper, no. 16-17. doi:/10.26509/frbc-wp-201617
Paper not yet in RePEc: Add citation now
Chan, Joshua and Gary Koop (2014) Modeling Breaks and Clusters in the Steady States of Macroeconomic Variable, Computational Statistics and Data Analysis, 76, 186-193 doi:10.1016/j.csda.2013.05.007.
Clark, Todd E. (2011) Real-Time Density Forecasts from Bayesian VARs with Stochastic Volatility, Journal of Business Economics and Statistics, 29: 327-341 doi:10.1198/jbes.2010.09248
- Clark, Todd E., and Michael W. McCracken (2008) Forecasting with Small Macroeconomic VARs in the Presence of Instabilities, in Forecasting in the Presence of Structural Breaks and Model Uncertainty, D. Rapach and M. Wohar, eds., Emerald Publishing, pp. 93-147 doi:10.1016/s1574-8715(07)00203-5
Paper not yet in RePEc: Add citation now
Clark, Todd E., and Michael W. McCracken (2010) Averaging Forecasts from VARs with Uncertain Instabilities, Journal of Applied Econometrics, 5-29 doi:10.1002/jae.1127
Clark, Todd E., and Michael W. McCracken (2013) Advances in Forecast Evaluation, in Handbook of Economic Forecasting (vol. 2), eds. G. Elliott, and A.Timmermann, Amsterdam, the Netherlands: Elsevier, pp. 11071201 doi:10.1016/B978- -444-62731-5.00020-8
Clark, Todd E., and Michael W. McCracken (2017) Tests of Predictive Ability for Vector Autoregressions Used For Conditional Forecasting, Journal of Applied Econo- metrics, 32: 533-553 doi:10.1002/jae.2529
Clements, Michael P., (2014) Forecast Uncertainty-Ex Ante and Ex Post: U.S. Inflation and Output Growth, Journal of Business and Economic Statistics 32: 206-216 doi:10.1080/07350015.2013.859618
- Cogley, Timothy, and Thomas J. Sargent (2005) Drifts and Volatilities: Monetary Policies and Outcomes in the Post World War II U.S., Review of Economic Dynamics 8: 262-302 doi:10.1016/j.red.2004.10.009
Paper not yet in RePEc: Add citation now
Cogley, Timothy, Sergei Morozov, and Thomas J. Sargent (2005) Bayesian Fan Charts for U.K. In ation: Forecasting and Sources of Uncertainty in an Evolving Monetary System, Journal of Economic Dynamics and Control 29: 1893-1925 doi:10.1016/j.jedc.2005.06.005
Croushore, Dean (2010) An Evaluation of In ation Forecasts from Surveys Using Real-time Data, BE Journal of Macroeconomics 10(1):1-32 doi:10.2202/1935- 1690.1677
D'Agostino, Antonello, Domenico Giannone, and Luca Gambetti (2013) Macroeconomic Forecasting and Structural Change, Journal of Applied Econometrics, 28 (1), pages 81-101 doi:10.1002/jae.1257
Diebold, Francis X., and Roberto S. Mariano (1995) Comparing Predictive Accuracy, Journal of Business and Economic Statistics, 13, 253-263 doi:10.2307/1392185
Doan Tom, Robert Litterman, and Chris Sims (1984) Forecasting and Conditional Projection Using Realistic Prior Distributions, Econometric Reviews, 3: 1-100 doi:10.1080/07474938408800053
- Faust, Jon, and Jonathan Wright (2013) In ation Forecasting, In Handbook of Economic Forecasting, Elliot G. Timmermann A (eds), Vol. 2. North-Holland: Amsterdam; 2-56 doi:10.1016/b978-0-444-53683-9.00001-3
Paper not yet in RePEc: Add citation now
Frey, Christoph., and Frieder Mokinski (2016) Forecasting with Bayesian Vector Autoregressions Estimated Using Professional Forecasts, Journal of Applied Econometrics, 31:1083-1099 doi:10.1002/jae.2483
Geweke, John (1989) Bayesian Inference in Econometric Models Using Monte Carlo Integration, Econometrica 57, 1317-1339 doi:10.2307/1913710
Giannone, Domenico, Michele Lenza, and Giorgio E. Primiceri (2018) Priors For The Long Run, Journal of the American Statistical Association 147 doi:10.1080/01621459.2018.1483826
Gneiting, Tilmann, and Adrian E. Raftery (2007) Strictly Proper Scoring Rules, Predictions, and Estimations, Journal of the American Statistical Association, 102: 359-378. doi:10.1198/016214506000001437
- Gordon, Neil J., D.J. Salmond, and A.F.M. Smith (1993) A Novel Approach to Nonlinear/Non-Gaussian Bayesian State Estimation, IEEE Proceedings-F140, pp.107- 113 doi:10.1049/ip-f-2.1993.0015
Paper not yet in RePEc: Add citation now
Harvey, David., Stephen Leybourne, and Paul Newbold (1997) Testing the Equality of Prediction Mean Squared Errors, International Journal of Forecasting, 13, 281-291 doi:10.1016/s0169-2070(96)00719-4
Knotek II, Edward S., and Saeed Zaman (2017a) Nowcasting U.S. Headline and Core In ation, Journal of Money, Credit and Banking, 49(5): 932-968 doi:10.1111/jmcb.12401
Knotek II, Edward S., and Saeed Zaman (2017b) Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting, Federal Reserve Bank of Cleveland Working Paper no. 17-02 doi:/10.26509/frbc-wp-201702
Koop, Gary (2013) Forecasting with Medium and Large Bayesian VARs, Journal of Applied Econometrics 28, 177-203 doi:10.1002/jae.1270
Koop, Gary and Dimitris Korobilis (2013) Large Time-Varying Parameter VARS, Journal of Econometrics 177: 185-198 doi:10.1016/j.jeconom.2013.04.007
Kruger, Fabian, Todd E. Clark, and Francesco Ravazzolo (2017) Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts, Journal of Business and Economic Statistics doi:10.1080/07350015.2015.1087856
Litterman, R.B., (1986) Forecasting With Bayesian Vector Autoregressions { Five Years of Experience, Journal of Business and Economic Statistics 4, 25-38. doi:10.1080/07350015.1986.10509491
Modugno, Michele (2013) Now-casting In ation Using High Frequency Data, International Journal of Forecasting, 29(4): 664-675 doi:10.1016/j.ijforecast.2012.12.003
Primiceri, Giorgio E. (2005) Time Varying Structural Vector Autoregressions and Monetary Policy, Review of Economic Studies, 72, 821-852 doi:10.1111/j.1467- 937x.2005.00353.x
Robertson, John C., and Ellis W. Tallman (1999) Vector Autoregressions: Forecasting and Reality, Federal Reserve Bank of Atlanta Economic Review, Vol. 84:1 Retrieved from https://ideas.repec.org/a/p/fedaer/y1999iq1p4 18nv.84no.1.html
Robertson, John C., Ellis W. Tallman, and Charles H. Whiteman (2005) Forecasting Using Relative Entropy, Journal of Money, Credit and Banking, 37(3): 383-401 doi:10.1353/jmcb.2005.0034
Sims, Christopher A., and Tao Zha (1998) Bayesian Methods for Dynamic Multivariate Models, International Economic Review, 39: 949-968 doi:10.2307/2527347
Stock, James H. and Mark W.Watson (2007) Why Has U.S. In ation Become Harder to Forecast?, Journal of Money, Credit and Banking, 39: 3-33 doi:10.1111/j.1538-4616.2007.00014.x
Tallman, Ellis W., and Saeed Zaman (2017) Forecasting In ation: Phillips Curve Eects on Services Price Measures, International Journal of Forecasting, 33(2): 442- 457 doi:10.1016/j.ijforecast.2016.10.004
Villani, Mattias (2009) Steady-State Priors for Vector Autoregressions, Journal of Applied Econometrics, 24: 630-650 doi:10.1002/jae.1065
Waggoner, Daniel F., and Tao Zha (1999) Conditional Forecasts in Dynamic Multivariate Models, Review of Economics and Statistics, 81: 639-651 doi:10.1162/003465399558508
West, Kenneth D. (1996) Asymptotic Inference About Predictive Ability, Econometrica, 64: 1067-1084 doi:10.2307/2171956
Wright, Jonathan (2013) Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior, Journal of Applied Econometrics, 28: 762-776 doi:10.1002/jae.2268
Zaman, Saeed (2013) Improving In ation Forecasts in the Medium to Long Term, Federal Reserve Bank of Cleveland Economic Commentary, No. 2013-16 Retrieved from https://ideas.repec.org/a/p/fedcec/y2013inov15n2013-16.html
- Zellner, Arnold (1971) An Introduction to Bayesian Inference in Econometrics, Wiley: New York
Paper not yet in RePEc: Add citation now