Bayesian VARs with Large Panels

Marta Banbura (), Domenico Giannone () and Lucrezia Reichlin ()

No 6326, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper assesses the performance of Bayesian Vector Autoregression (BVAR) for models of different size. We consider standard specifications in the macroeconomic literature based on, respectively, three and eight variables and compare results with those obtained by larger models containing twenty or over one hundred conjunctural indicators. We first study forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for structural analysis.

Keywords: Bayesian VAR; forecasting; large cross-sections; monetary VAR (search for similar items in EconPapers)
JEL-codes: C11 C13 C33 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
Date: 2007-06
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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 (2008)
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