Large Bayesian VARs
Marta Banbura,
Domenico Giannone and
Lucrezia Reichlin
No 2008_033, Working Papers ECARES from ULB -- Universite Libre de Bruxelles
Abstract:
This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis.
Keywords: Bayesian VAR; Forecasting; Monetary VAR; large cross-sections (search for similar items in EconPapers)
JEL-codes: C11 C13 C33 C53 (search for similar items in EconPapers)
Pages: 37 p.
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (82)
Published by:
Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/5409 ... _wpaper_2008_033.pdf RePEc_eca_wpaper_2008_033 (application/pdf)
Related works:
Journal Article: Large Bayesian vector auto regressions (2010) 
Working Paper: Large Bayesian VARs (2008) 
Working Paper: Large Bayesian VARs (2008) 
Working Paper: Bayesian VARs with Large Panels (2007) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2008_033
Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... ulb.ac.be:2013/54095
Access Statistics for this paper
More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().