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Bayesian nonparametric methods for macroeconomic forecasting

less than 1 minute read

Published:

Here is a [draft] of our chapter “Bayesian nonparametric methods for macroeconomic forecasting” (joint work with Massimiliano Marcellino) prepared for the Handbook of Macroeconomic Forecasting which is edited by Mike Clements and Ana Galvao.

General Bayesian time-varying parameter vector autoregressions for modeling government bond yields

less than 1 minute read

Published:

“General Bayesian time-varying parameter vector autoregressions for modeling government bond yields” [DOI], with Manfred M. Fischer, Niko Hauzenberger and Florian Huber, on flexibly modeling structural breaks in the dynamic evolution of government bond yields is now out in print in the January/February 2023 issue of Journal of Applied Econometrics.

Nowcasting in a pandemic using non-parametric mixed frequency VARs

less than 1 minute read

Published:

“Nowcasting in a pandemic using non-parametric mixed frequency VARs” [DOI], with Florian Huber, Gary Koop, Luca Onorante and Josef Schreiner, on mixed-frequency econometrics for multivariate regression trees is now out in print in the January 2023 issue of Journal of Econometrics.

Tail forecasting with multivariate Bayesian additive regression trees

less than 1 minute read

Published:

“Tail Forecasting with Multivariate Bayesian Additive Regression Trees” [DOI], with Todd Clark, Florian Huber, Gary Koop and Massimiliano Marcellino, on multivariate nonparametric methods for capturing macroeconomic tail risks is now forthcoming in the International Economic Review.

research

Bayesian nonparametric methods for macroeconomic forecasting

less than 1 minute read

Published:

Here is a [draft] of our chapter “Bayesian nonparametric methods for macroeconomic forecasting” (joint work with Massimiliano Marcellino) prepared for the Handbook of Macroeconomic Forecasting which is edited by Mike Clements and Ana Galvao.

General Bayesian time-varying parameter vector autoregressions for modeling government bond yields

less than 1 minute read

Published:

“General Bayesian time-varying parameter vector autoregressions for modeling government bond yields” [DOI], with Manfred M. Fischer, Niko Hauzenberger and Florian Huber, on flexibly modeling structural breaks in the dynamic evolution of government bond yields is now out in print in the January/February 2023 issue of Journal of Applied Econometrics.

Nowcasting in a pandemic using non-parametric mixed frequency VARs

less than 1 minute read

Published:

“Nowcasting in a pandemic using non-parametric mixed frequency VARs” [DOI], with Florian Huber, Gary Koop, Luca Onorante and Josef Schreiner, on mixed-frequency econometrics for multivariate regression trees is now out in print in the January 2023 issue of Journal of Econometrics.

Tail forecasting with multivariate Bayesian additive regression trees

less than 1 minute read

Published:

“Tail Forecasting with Multivariate Bayesian Additive Regression Trees” [DOI], with Todd Clark, Florian Huber, Gary Koop and Massimiliano Marcellino, on multivariate nonparametric methods for capturing macroeconomic tail risks is now forthcoming in the International Economic Review.