Oriol González-Casasús, Frank Schorfheide
arXiv 6 Feb 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2502.03693 · PDF · DOI · OpenAlex · Extracted main text
VARs are often estimated with Bayesian techniques to cope with model dimensionality. The posterior means define a class of shrinkage estimators, indexed by hyperparameters that determine the relative weight on maximum likelihood estimates and prior means. In a Bayesian setting, it is natural to choose these hyperparameters by maximizing the marginal data density. However, this is undesirable if the VAR is misspecified. In this paper, we derive asymptotically unbiased estimates of the multi-step forecasting risk and the impulse response estimation risk to determine hyperparameters in settings where the VAR is (potentially) misspecified. The proposed criteria can be used to jointly select the optimal shrinkage hyperparameter, VAR lag length, and to choose among different types of multi-step-ahead predictors; or among IRF estimates based on VARs and local projections. The selection approach is illustrated in a Monte Carlo study and an empirical application.
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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 | Marcellino, Stock, and Watson (2006) A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series | 0.928 | 4 | 3 | 100% |
| 2 | Schorfheide (2005) VAR Forecasting Under Misspecification self | 0.811 | 4 | 2 | 100% |
| 3 | Shibata (1980) Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process | 0.811 | 4 | 2 | 100% |
| 4 | Ludwig (2024) Local Projections are VAR Predictions of Different Order | 0.644 | 2 | 2 | 100% |
| 5 | Montiel Olea and Plagborg-Mller (2021) Local Projection Inference is Easier Than You Think | 0.644 | 2 | 2 | 100% |
| 6 | Giannone, Lenza, and Primiceri (2015) Prior Selection for Vector Autoregressions | 0.511 | 2 | 1 | 100% |
| 7 | Baillie (1979) Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models | 0.405 | 1 | 1 | 100% |
| 8 | Bhansali (1996) Asymptotically Efficient Autoregressive Model Selection for Multistep Prediction | 0.405 | 1 | 1 | 100% |
| 9 | Bhansali (1997) Direct Autoregressive Predictors for Multistep Prediction: Order Selection and Performance Relative to the Plug In Predictors | 0.405 | 1 | 1 | 100% |
| 10 | Billingsley (1968) Probability and Measure | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 37 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Double Robustness of Local Projections and Some Unpleasant VARithmetic | 0.644 | 2 | 2 |
| 2 | Targeted Local Projections | 0.405 | 1 | 1 |