Forecasting with high dimensional panel VARs
Koop, Gary and Korobilis, Dimitris (2018) Forecasting with high dimensional panel VARs. Oxford Bulletin of Economics and Statistics. ISSN 1468-0084 (In Press)
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Abstract
This paper develops methods for estimating and forecasting in Bayesian panel vector autoregressions of large dimensions with time-varying parameters and stochastic volatility. We exploit a hierarchical prior that takes into account possible pooling restrictions involving both VAR coefficients and the error covariance matrix, and propose a Bayesian dynamic learning procedure that controls for various sources of model uncertainty. We tackle computational concerns by means of a simulation-free algorithm that relies on an analytical approximation of the posterior distribution. We use our methods to forecast inflation rates in the eurozone and show that forecasts from our flexible specification are superior to alternative methods for large vector autoregressions.
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Item type: Article ID code: 65705 Dates: DateEvent2 October 2018Published2 October 2018AcceptedSubjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 08 Oct 2018 10:52 Last modified: 25 Mar 2024 02:58 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/65705