Bayesian averaging of classical estimates in asymmetric vector autoregressive models

No abstract is available for this paper.

• Publication year

  2017

• Venue

  Communications in statistics. Simulation and computation

• Publication date

  2017-03-16

• Fields of study

  Mathematics, Computer Science, Economics

• Identifiers
  DOI 10.1080/03610918.2015.1011335
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Vector Autoregressions

  2020cited by this paper
• Forecasting exchange rates with a large Bayesian VAR

  2009cited by this paper
• VAR Forecasting Using Bayesian Variable Selection

  2009cited by this paper
• Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

  2007cited by this paper
• Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence

  2006cited by this paper
• Chapter 6 Forecasting with VARMA Models

  2006cited by this paper
• Estimation and Inference of Impulse Responses by Local Projections

  2005cited by this paper
• Forecasting with VARMA Models

  2004cited by this paper
• Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (Bace) Approach

  2004cited by this paper
• Bayesian analysis of vector-autoregressive models with noninformative priors☆

  2004cited by this paper
• Order selection for vector autoregressive models

  2003cited by this paper
• A Bayesian vector error correction model for forecasting exchange rates

  2003cited by this paper
• Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy

  2003cited by this paper
• A Litterman BVAR approach for production forecasting of technology industries

  2003cited by this paper
• Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power

  2001cited by this paper
• COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS

  2001cited by this paper
• Macroeconomic modeling with asymmetric vector autoregressions

  2000cited by this paper
• Error Bands for Impulse Responses

  1999cited by this paper
• Lag length selection in vector autoregressive models: symmetric and asymmetric lags

  1999cited by this paper
• Testing the equality of prediction mean squared errors

  1997cited by this paper
• I Just Ran Four Million Regressions

  1997cited by this paper
• On Information and Sufficiency

  1997cited by this paper
• I Just Ran Two Million Regressions

  1997cited by this paper
• Evidence on Structural Instability in Macroeconomic Time Series Relations

  1996cited by this paper
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

  1993cited by this paper
• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions

  1993influential reference
• Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

  1990cited by this paper
• Vector Autoregressions and Reality: Reply

  1987cited by this paper
• Vector Autoregressions and Reality

  1987cited by this paper
• An Application of Vector Time Series Techniques to Macroeconomic Forecasting

  1986cited by this paper
• Let's Take the Con Out of Econometrics

  1983cited by this paper
• AUTOREGRESSIVE MODELLING AND MONEY-INCOME CAUSALITY DETECTION

  1981cited by this paper
• Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process

  1980cited by this paper
• The determination of the order of an autoregression

  1979cited by this paper
• Estimating the Dimension of a Model

  1978cited by this paper
• MACROECONOMICS AND REALITY

  1977cited by this paper
• A new look at the statistical model identification

  1974cited by this paper
• The Business and Economic Statistics Section

  1951cited by this paper

• Identifying Economic Factors of Renewable Energy Consumption—A Global Perspective

  2024cites this paper
• Factors of Renewable Energy Consumption in the European Countries – the Bayesian Averaging Classical Estimates Approach

  2021cites this paper
• Factors of Renewable Energy Consumption in the European Countries—The Bayesian Averaging Classical Estimates Approach

  2021cites this paper
• BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl

  2020cites this paper
• Predictive and Structural Analysis for High-Dimensional Vector

  2020influential citation
• Bayesian Averaging of Classical Estimates (BACE) for gretl

  2018cites this paper