Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models

[1]  Alessandro Rossi,et al.  The marginal likelihood of dynamic mixture models , 2012, Comput. Stat. Data Anal..

[2]  Frank Schorfheide,et al.  DSGE Model-Based Forecasting , 2012 .

[3]  Jouchi Nakajima,et al.  Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy , 2011 .

[4]  J. Torres,et al.  Forecasting the Spanish economy with an augmented VAR–DSGE model , 2011 .

[5]  Frank Schorfheide,et al.  Advances in Economics and Econometrics: Estimation and Evaluation of DSGE Models: Progress and Challenges , 2013 .

[6]  Edward P. Herbst,et al.  Evaluating DSGE Model Forecasts of Comovements , 2011 .

[7]  Siddhartha Chib,et al.  Tailored randomized block MCMC methods with application to DSGE models , 2010 .

[8]  D. Giannone,et al.  Large Bayesian vector auto regressions , 2010 .

[9]  Marcin Kolasa,et al.  Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test , 2009, SSRN Electronic Journal.

[10]  Carlo A. Favero,et al.  On the Statistical Identification of DSGE Models , 2009 .

[11]  M. Pesaran,et al.  Infinite Dimensional VARs and Factor Models , 2009, SSRN Electronic Journal.

[12]  Jesús Fernández-Villaverde,et al.  The econometrics of DSGE models , 2009 .

[13]  Andra Ghent.  Comparing DSGE-VAR Forecasting Models: How Big are the Differences? , 2008 .

[14]  Anders Warne,et al.  The New Area-Wide Model of the Euro Area: A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis , 2008, SSRN Electronic Journal.

[15]  Frank Schorfheide,et al.  DSGE Model-Based Forecasting of Non-Modelled Variables , 2008 .

[16]  M. Marcellino,et al.  Forecasting euro area variables with German pre-EMU data , 2008 .

[17]  Michał Rubaszek,et al.  On the forecasting performance of a small-scale DSGE model , 2008 .

[18]  Luca Benati,et al.  VAR Analysis and the Great Moderation∗ , 2007 .

[19]  Frank Schorfheide,et al.  Bayesian Analysis of DSGE Models—Rejoinder , 2007 .

[20]  Frank Schorfheide,et al.  On the Fit of New Keynesian Models , 2007 .

[21]  Michael K. Andersson,et al.  Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks , 2007 .

[22]  F. Smets,et al.  Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach , 2007 .

[23]  Jean Boivin,et al.  Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data , 2007 .

[24]  Giorgio E. Primiceri,et al.  The Time Varying Volatility of Macroeconomic Fluctuations , 2006 .

[25]  Rajeev Dhawan,et al.  How Resilient Is the Modern Economy to Energy Price Shocks , 2006 .

[26]  Mattias Villani,et al.  Evaluating an Estimated New Keynesian Small Open Economy Model , 2007 .

[27]  Jean Boivin,et al.  DSGE Models in a Data-Rich Environment , 2006 .

[28]  Frank Schorfheide,et al.  Bayesian Analysis of DSGE Models , 2005 .

[29]  Melvin J. Hinich,et al.  Time Series Analysis by State Space Methods , 2001 .

[30]  Lawrence J. Christiano,et al.  Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy , 2005 .

[31]  Ricardo Mestre,et al.  An area-wide model for the euro area , 2005 .

[32]  F. Canova,et al.  On the Time Variations of US Monetary Policy: Who is right? , 2004 .

[33]  Frank Smets,et al.  Forecasting with a Bayesian DSGE Model: An Application to the Euro Area , 2004, SSRN Electronic Journal.

[34]  C. Sims,et al.  Were There Regime Switches in U.S. Monetary Policy? , 2004 .

[35]  Jean Boivin,et al.  Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach , 2003 .

[36]  T. Sargent,et al.  Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. , 2003 .

[37]  J. Stock,et al.  Macroeconomic forecasting in the Euro area: Country specific versus area-wide information , 2003 .

[38]  Giorgio E. Primiceri,et al.  Time Varying Structural Vector Autoregressions and Monetary Policy , 2002 .

[39]  F. Smets,et al.  An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35 , 2002 .

[40]  Massimiliano Giuseppe Marcellino,et al.  Forecasting Emu Macroeconomic Variables , 2002 .

[41]  C. Sims.  Solving Linear Rational Expectations Models , 2002 .

[42]  Frank Smets,et al.  An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area , 2002, SSRN Electronic Journal.

[43]  Frank Schorfheide,et al.  Priors from General Equilibrium Models for Vars , 2002 .

[44]  Frank Schorfheide,et al.  Testing for Indeterminacy: An Application to U. S. Monetary Policy , 2002 .

[45]  J. Stock,et al.  Macroeconomic Forecasting Using Diffusion Indexes , 2002 .

[46]  Michael Woodford,et al.  Interest and Prices , 2011 .

[47]  Jean Boivin,et al.  Monetary Policy in a Data-Rich Environment , 2001 .

[48]  Ricardo Mestre,et al.  An Area Wide Model (Awm) for the Euro Area , 2001, SSRN Electronic Journal.

[49]  T. Başar,et al.  A New Approach to Linear Filtering and Prediction Problems , 2001 .

[50]  Rainer Dahlhaus,et al.  A Likelihood Approximation for Locally Stationary Processes , 2000 .

[51]  Frank Schorfheide,et al.  Loss function‐based evaluation of DSGE models , 2000 .

[52]  M. Hallin,et al.  The Generalized Dynamic-Factor Model: Identification and Estimation , 2000, Review of Economics and Statistics.

[53]  J. Bai,et al.  Determining the Number of Factors in Approximate Factor Models , 2000 .

[54]  Jinill Kim.  Constructing and estimating a realistic optimizing model of monetary policy , 2000 .

[55]  Marco Lippi,et al.  Reference cycles: the NBER methodology revisited , 2000 .

[56]  Michael A. West,et al.  Bayesian time-varying autoregressions: Theory, methods and applications , 2000 .

[57]  R. King.  The New IS-LM Model: Language, Logic, and Limits , 2000 .

[58]  Peter N. Ireland,et al.  A Method for Taking Models to the Data , 2004 .

[59]  Chang‐Jin Kim,et al.  Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle , 1999, Review of Economics and Statistics.

[60]  John Geweke,et al.  Using Simulation Methods for Bayesian Econometric Models , 1999 .

[61]  Chang‐Jin Kim,et al.  State Space Models with Regime Switching , 1999 .

[62]  C. Sims,et al.  Vector Autoregressions , 1999 .

[63]  Lucrezia Reichlin,et al.  Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics , 1998 .

[64]  J. Stock,et al.  Business Cycle Fluctuations in U.S. Macroeconomic Time Series , 1998 .

[65]  J. Galí,et al.  Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory , 1998 .

[66]  John Geweke,et al.  Federal Reserve Bank of Minneapolis Research Department Staff Report 249 Using Simulation Methods for Bayesian Econometric Models: Inference, Development, and Communication , 2022 .

[67]  C. Sims,et al.  Bayesian methods for dynamic multivariate models , 1998 .

[68]  Margaret Mary McConnell,et al.  Output Fluctuations in the United States: What Has Changed Since the Early 1980s? , 1998 .

[69]  K. R. Kadiyala,et al.  Numerical Methods for Estimation and Inference in Bayesian VAR-models , 1997 .

[70]  R. Dahlhaus.  Fitting time series models to nonstationary processes , 1997 .

[71]  Julio J. Rotemberg,et al.  An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy , 1997, NBER Macroeconomics Annual.

[72]  Wu Qi-guang,et al.  ESTIMATION FOR SEEMINGLY UNRELATED REGRESSION EQUATIONS , 1997 .

[73]  Lucrezia Reichlin,et al.  Dynamic common factors in large cross-sections , 1996 .

[74]  S. Chib.  Marginal Likelihood from the Gibbs Output , 1995 .

[75]  Lucrezia Reichlin,et al.  Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle , 1995 .

[76]  Subhash C. Ray,et al.  A BVAR model for the connecticut economy , 1995 .

[77]  Fabio Canova,et al.  Statistical Inference in Calibrated Models , 1994 .

[78]  Charles H. Whiteman,et al.  Supplanting the''Minnesota''Prior: Forecasting Macroeconomic Time Series Using Real Business Cycle M , 1994 .

[79]  A. Gelfand,et al.  Bayesian Model Choice: Asymptotics and Exact Calculations , 1994 .

[80]  Ellen R. McGrattan,et al.  The macroeconomic effects of distortionary taxation , 1994 .

[81]  Eric M. Leeper,et al.  Toward a Modern Macroeconomic Model Usable for Policy Analysis , 1994, NBER Macroeconomics Annual.

[82]  David E. Spencer.  Developing a Bayesian vector autoregression forecasting model , 1993 .

[83]  J. Angus.  Forecasting, Structural Time Series and the Kalman Filter , 1992 .

[84]  John Geweke,et al.  Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments , 1991 .

[85]  Sumru Altug,et al.  Time-to-Build and Aggregate Fluctuations: Some New Evidence , 1989 .

[86]  Thomas J. Sargent,et al.  Two Models of Measurements and the Investment Accelerator , 1989, Journal of Political Economy.

[87]  Martin Eichenbaum,et al.  Is Theory Really Ahead of Measurement? Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations , 1988 .

[88]  A. Harvey.  Analysis and generalisation of a multivariate exponential smoothing model , 1986 .

[89]  R. Todd.  Improving economic forecasting with Bayesian vector autoregression , 1984 .

[90]  Robert B. Litterman.  Forecasting with Bayesian Vector Autoregressions-Five Years of Experience , 1984 .

[91]  Robert B. Litterman,et al.  Forecasting and Conditional Projection Using Realistic Prior Distributions , 1983 .

[92]  Finn E. Kydland,et al.  Time to Build and Aggregate Fluctuations , 1982 .

[93]  C. Sims.  MACROECONOMICS AND REALITY , 1977 .

[94]  I. R. Dunsmore,et al.  A Bayesian Approach to Calibration , 1968 .

[95]  A. Zellner.  Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results , 1963 .

[96]  A. Goldberger,et al.  On Pure and Mixed Statistical Estimation in Economics , 1961 .

[97]  R. E. Kalman,et al.  A New Approach to Linear Filtering and Prediction Problems , 2002 .