Martin Feldkircher, Luis Gruber, Florian Huber, Gregor Kastner
arXiv 1 Nov 2017 · Statistics — Methodology
arXiv:1711.00564 · PDF · DOI · OpenAlex · Extracted main text
We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and the United States. It turns out that sophisticated dynamics through drifting coefficients are important in small data sets, while simpler models tend to perform better in sizeable data sets. To combine the best of both worlds, novel shrinkage priors help to mitigate the curse of dimensionality, resulting in competitive forecasts for all scenarios considered. Furthermore, we discuss dynamic model selection to improve upon the best performing individual model for each point in time.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | barticle[author] Bhattacharya, AnirbanA., Pati, DebdeepD., Pillai, N… (2015) ) | 1.000 | 5 | 3 | 100% |
| 2 | barticle[author] D'Agostino, AntonelloA., Gambetti, LucaL. Giannone,… (2013) ) | 0.928 | 4 | 3 | 100% |
| 3 | barticle[author] Huber, FlorianF. Feldkircher, MartinM (2017) ) self | 0.737 | 3 | 2 | 100% |
| 4 | barticle[author] Frühwirth-Schnatter, SylviaS. Wagner, HelgaH (2010) ) | 0.737 | 3 | 2 | 100% |
| 5 | barticle[author] Belmonte, Miguel AGM. A., Koop, GaryG. Korobilis, D… (2014) ) | 0.644 | 2 | 2 | 100% |
| 6 | barticle[author] Bitto, AngelaA. Frühwirth-Schnatter, SylviaS (2019) ) | 0.644 | 2 | 2 | 100% |
| 7 | barticle[author] Cogley, TimothyT. Sargent, Thomas JT. J (2005) ) | 0.644 | 2 | 2 | 100% |
| 8 | barticle[author] George, Edward IE. I. McCulloch, Robert ER. E (1993) ) | 0.644 | 2 | 2 | 100% |
| 9 | barticle[author] George, Edward IE. I., Sun, DongchuD. Ni, ShawnS (2008) ) | 0.644 | 2 | 2 | 100% |
| 10 | barticle[author] Griffin, Jim EJ. E. Brown, Philip JP. J (2010) ) | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 52 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 1912.03100 | 0.644 | 2 | 2 |