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Have Standard VARS Remained Stable Since the Crisis? (replication data)
Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock transmission. This requires VAR parameters to be stable over the evaluation... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...
