Vector Autoregressions and Forecasting

ESEM
Presenter(s) Type Length Chair
Anna Bykhovskaya Lorenzo Trapani Martin Bruns Emilio Zanetti Chini Leonardo N. Ferreira Contributed 23/08 13:30 UTC
120
mins
Mikkel Plagborg-Moller

Papers

(Listed in order of presenters above)

Cointegration in Large VARs

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Determining the rank of cointegration with infinite variance

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Comparison of Projection Estimators for Proxy Vector Autoregressions

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Strategic Judgment: its game-theoretic foundations, its econometric elicitation

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Forecasting with VAR-teXt and DFM-teXt models: exploiting changes in central bank communication

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