Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
By Markus Jochmann, Gary Koop, Rodney W. Strachan. 2010
46 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/27efbe18c34afb66b7294c9a970bbea37fbf96b2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Dimitris Korobilis
- Gary Koop
- David Gabauer
- Nikolaos Antonakakis
- Joshua C. C. Chan
- Sune Karlsson
- K. Petrova
- Ioannis Chatziantoniou
In Management Science and Operations Research
- Dimitris Korobilis
- Gary Koop
- Joshua C. C. Chan
- Eric Eisenstat
- Massimiliano Marcellino
- Todd E. Clark
- Andrea Carriero
- Domenico Giannone
Citations in the corpus
- Large time-varying parameter VARs (2013, methodology): “We have used such algorithms in previous work (e.g. Korobilis (2013) or Jochmann et al. (2010)), but they require the use of MCMC methods and, thus, are computationally daunting with large TVP-VARs.”
- Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “This approach is regarded as a special form of Bayesian model stochastic search method to selecting restrictions for VAR models (for example see George and McCulloch (1997), George et al. (2008), Jochmann et al. (2010), and Jochmann et al. (2013)).”