Bayesian VARs
Forecasting with Medium and Large Bayesian VARS
... implementing VARs lead to better (and often much better) forecast ...high-dimensional Bayesian VARs is an alternative worth considering when working with large panels of ...
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Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
... commodate features of the Minnesota prior (Doan et al., 1984; Sims and Zha, 1998). The first specification proposed is a modified version of the Normal-Gamma (NG) shrinkage prior (Griffin and Brown, 2010; 2017; Bitto and ...
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Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs
... Structural Bayesian Vector Autoregression (SBVAR) models used (i) to disentangle the main shocks driving the Spanish economy over time and (ii) to provide short and medium term forecasts of output and infl ...
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Does money growth granger-cause inflation in the Euro Area? Evidence from output-of-sample forecasts using Bayesian VARs
... the VARs dominating the recent empirical ...conventional VARs is ...time, VARs are appealing as their flexibility provide for a good description of the data generating ...
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Does money matter for U.S. inflation? Evidence from Bayesian VARs
... A relevant discussion in this context is how to estimate the autoregressive (AR) and vector- autoregressive (VAR) models dominating the recent empirical literature. Adolfson et al. (2007) argue that conventional VAR ...
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The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy
... The BVARs have been around since mid-80s (Litterman, 1986) and have been used for forecasting but it is only recently that their popularity have gained mainly due to an important work by Banbura, Giannone, and Reichlin ...
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Forecasting Government Bond Yields with Large Bayesian VARs
... rates, which exploits the information contained in a large panel of government bond yields. Focusing on the U.S., we show that our proposed strategy produces systematically better forecasts than all the methods outlined ...
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Forecasting Government Bond Yields with Large Bayesian VARs
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Government purchases reloaded : informational insufficiency and heterogeneity in fiscal VARs
... These three seemingly unrelated issues are best thought of as different aspects of a more fundamental problem of ‘informational insufficiency’ of the employed econometric models, due to a misalignment between the ...
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Aggregate Density Forecasting from Disaggregate Components Using Large VARs
... large Bayesian VARs to estimate the multivariate process and produce the aggregate ...parameter VARs and allowing for stochastic volatility are ...that VARs can produce well calibrated ...
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Cloud Computing Threat or Opportunity for VARs & MSPs?
... SMBs will be looking for hosted systems with offer them web access, integrate with popular on local email clients like Outlook, and offer them integrated collaboration features over a[r] ...
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Macro finance VARs and bond risk premia: a caveat
... estimated VARs should have at least one highly persistent factor with long half-life; however, it is well known that the very presence of such persistent factors makes estimation of VARs problematic, be- ...
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Time varying VARs with inequality restrictions
... Τηισ χαν βε σεεν ιν ανοτηερ ωαψ βψ νοτινγ τηατ 10 χαν αλσο βε ωριττεν ασ ∀ ΒΦ = Πρ [Ρεστριχτιονσ αρε τρυε] Ε ΘΤ τ=1 1 Ρ τ 1 ; Θ # ϕΡεστριχτιονσ αρε τρυε 11 ωηερε Πρ [Ρεστριχτιονσ αρε τρυ[r] ...
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CFD Analysis of VARS Component (Evaporator)on ANSYS Fluent
... The VARS uses heat energy instead of mechanical energy in VCRS, in order to change the condition of refrigerant required for the operation of refrigeration ...A VARS of capacity ...
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Forecasting with High Dimensional Panel VARs
... large VARs rely on the Minnesota prior (Doan, Litterman and Sims, 1984) that places weak prior shrinkage on the intercepts and own autoregressive dynamics of each variable, but heavily shrinks cross-terms and more ...
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Wi-Fi as a Service. Compelling managed services opportunity for VARs/MSPs. Market Perspective for VARs/MSPs targeting SMBs
... As WLAN management shifts to the cloud, SMBs fi nally have access to aff ordable, easy to manage enterprise- grade wireless, without needing experienced wireless engineers on staff . The cloud management model also gives ...
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Clinical Utility of the Vanderbilt ADHD Rating Scale for Ruling Out Comorbid Learning Disorders
... the VARS items in combination with as- sessment of math functioning at school to determine whether a refer- ral is ...the VARS items should be used alone to determine whether to re- fer and therefore ...
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Government Spending Reloaded: Informational Insufficiency and Heterogeneity in Fiscal VARs
... Our findings indicate a possible direction to reconcile findings previously reported in the literature. First, informational sufficiency tests show that small VARs using a marginal approach are generally ...
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Dealing with heterogeneity in panel VARs using sparse finite mixtures
... It is worth noting that the total number of parameters of the PVAR model outlined in the previous section is K(pK + 1) + (K + 1)q + K, and thus rises rapidly with M and N . Since the typical macroeconomic dataset ...
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Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach
... The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into ...
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