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https://doi.org/10.2139/ssrn.2912953
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inferredcites →https://doi.org/10.1002/(sici)1099-1255(199703)12:2<99::aid-jae429>3.0.co;2-aopenalex-extracted
NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR-MODELS
inferredcites →https://doi.org/10.1002/for.1208openalex-extracted
Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK
inferredcites →https://doi.org/10.1002/for.1246openalex-extracted
Density Forecasting with Time Varying Higher Moments - A Model Confidence Set Approach
inferredcites →https://doi.org/10.1002/jae.1150openalex-extracted
Forecasting large datasets with Bayesian reduced rank multivariate models
inferredcites →https://doi.org/10.1002/jae.1270openalex-extracted
Forecasting with Medium and Large Bayesian VARS
inferredcites →https://doi.org/10.1002/jae.2315openalex-extracted
Bayesian VARs: Specification Choices and Forecast Accuracy
inferredcites →https://doi.org/10.1016/j.csda.2015.11.014openalex-extracted
Revisiting useful approaches to data-rich macroeconomic forecasting
inferredcites →https://doi.org/10.1016/j.econmod.2013.04.007openalex-extracted
A general to specific approach for constructing composite business cycle indicators
inferredcites →https://doi.org/10.1016/j.ijforecast.2013.10.005openalex-extracted
Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression
inferredcites →https://doi.org/10.1016/j.ijforecast.2016.09.002openalex-extracted
A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures
inferredcites →https://doi.org/10.1016/j.jeconom.2008.08.011openalex-extracted
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
inferredcites →https://doi.org/10.1016/j.jeconom.2010.11.002openalex-extracted
Infinite-dimensional VARs and factor models
inferredcites →https://doi.org/10.1016/j.jeconom.2011.02.018openalex-extracted
Variable selection, estimation and inference for multi-period forecasting problems
inferredcites →https://doi.org/10.1016/j.jeconom.2016.02.002openalex-extracted
Structural analysis with Multivariate Autoregressive Index models
inferredcites →https://doi.org/10.1016/j.jmva.2007.06.004openalex-extracted
Sample covariance shrinkage for high dimensional dependent data
inferredcites →https://doi.org/10.1016/j.jmva.2014.04.022openalex-extracted
Some strong consistency results in stochastic regression
inferredcites →https://doi.org/10.1016/s0047-259x(03)00096-4openalex-extracted
A well-conditioned estimator for large-dimensional covariance matrices
inferredcites →https://doi.org/10.1016/s0165-1765(03)00060-0openalex-extracted
Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
inferredcites →https://doi.org/10.1016/s0927-5398(03)00007-0openalex-extracted
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
inferredcites →https://doi.org/10.1017/cbo9780511610264.004openalex-extracted
Macroeconomic Forecasting Using Many Predictors
inferredcites →https://doi.org/10.1057/978-1-349-95121-5_2682-1openalex-extracted
Reduced Rank Regression
inferredcites →https://doi.org/10.1080/03610917508548342openalex-extracted
Ridge Regression: Some Simulations
inferredcites →https://doi.org/10.1080/07350015.2015.1086655openalex-extracted
FRED-MD: A Monthly Database for Macroeconomic Research
inferredcites →https://doi.org/10.1080/10618600.2015.1092978openalex-extracted
Sparse Vector Autoregressive Modeling
inferredcites →https://doi.org/10.1093/oxfordhb/9780195398649.013.0003openalex-extracted
Dynamic Factor Models
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00696.xopenalex-extracted
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
inferredcites →https://doi.org/10.1162/0033553053327452openalex-extracted
Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach
inferredcites →https://doi.org/10.1162/rest_a_00483openalex-extracted
Prior Selection for Vector Autoregressions
inferredcites →https://doi.org/10.1198/016214502388618960openalex-extracted
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1198/073500102317351921openalex-extracted
Macroeconomic Forecasting Using Diffusion Indexes
inferredcites →https://doi.org/10.1198/073500104000000019openalex-extracted
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
inferredcites →https://doi.org/10.2139/ssrn.1518419openalex-extracted
Testing for Common Autocorrelation in Data Rich Environments
inferredcites →https://doi.org/10.2307/1911792openalex-extracted
A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
inferredcites →https://doi.org/10.3386/w11467openalex-extracted
Implications of Dynamic Factor Models for VAR Analysis
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