Large Bayesian vector auto regressions

Marta Bańbura; Domenico Giannone; Lucrezia Reichlin

doi:10.1002/jae.1137

journal article Jan 01, 2010

Large Bayesian vector auto regressions

Marta Bańbura Domenico Giannone Lucrezia Reichlin

Journal of Applied Econometrics Vol. 25 No. 1 pp. 71-92 · Wiley

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Abstract

AbstractThis paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co‐workers (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. Copyright © 2009 John Wiley & Sons, Ltd.

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Citations

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References

Details

Published: Jan 01, 2010
Vol/Issue: 25(1)
Pages: 71-92
License: View

Authors

Funding

Action de Recherche Concertée Award: 02/07-281

Cite This Article

Marta Bańbura, Domenico Giannone, Lucrezia Reichlin (2010). Large Bayesian vector auto regressions. Journal of Applied Econometrics, 25(1), 71-92. https://doi.org/10.1002/jae.1137

Large Bayesian vector auto regressions

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