Joshua C. C. Chan, Davide Pettenuzzo, Aubrey Poon, Dan Zhu
arXiv 2 Jul 2024 · Econometrics · publishedJournal of Economic Dynamics and Control (2025) · 2 citations (OpenAlex)
arXiv:2407.02262 · PDF · DOI · OpenAlex · Extracted main text
Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number of applied settings. In spite of this, the existing algorithms used to generate conditional forecasts tend to be very computationally intensive, especially when working with large Vector Autoregressions or when multiple linear equality and inequality constraints are imposed at once. We introduce a novel precision-based sampler that is fast, scales well, and yields conditional forecasts from linear equality and inequality constraints. We show in a simulation study that the proposed method produces forecasts that are identical to those from the existing algorithms but in a fraction of the time. We then illustrate the performance of our method in a large Bayesian Vector Autoregression where we simultaneously impose a mix of linear equality and inequality constraints on the future trajectories of key US macroeconomic indicators over the 2020--2022 period.
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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 | Waggoner and Zha (1999) Conditional forecasts in dynamic multivariate models | 1.000 | 30 | 4 | 100% |
| 2 | Antolín-Díaz, Petrella, and Rubio-Ramírez (2021) Structural scenario analysis with SVARs | 1.000 | 29 | 4 | 100% |
| 3 | Andersson, Palmqvist, and Waggoner (2010) Density-conditional forecasts in dynamic multivariate models | 1.000 | 19 | 3 | 100% |
| 4 | Bańbura, Giannone, and Lenza (2015) Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections | 1.000 | 11 | 3 | 100% |
| 5 | Crump, Eusepi, Giannone, Qian, and Sbordone (2021) A Large Bayesian VAR of the United States Economy | 0.969 | 11 | 3 | 91% |
| 6 | Chan and Jeliazkov (2009) Efficient simulation and integrated likelihood estimation in state space models self | 0.874 | 6 | 2 | 100% |
| 7 | Botev (2017) The normal law under linear restrictions: simulation and estimation via minimax tilting | 0.874 | 5 | 2 | 100% |
| 8 | Geweke (1996) Bayesian inference for linear models subject to linear inequality constraints | 0.737 | 3 | 2 | 100% |
| 9 | Baumeister and Kilian (2014) Real-time analysis of oil price risks using forecast scenarios | 0.644 | 2 | 2 | 100% |
| CPZ23 | unmatched citation key CPZ23 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 28 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios | 1.000 | 6 | 3 |
| 2 | RoyalBlue4 Decision Synthesis in Monetary Policy | 0.511 | 3 | 2 |