Joshua C. C. Chan, Michael Pfarrhofer
arXiv 2 Jun 2025 · Econometrics
arXiv:2506.01422 · PDF · DOI · OpenAlex · Extracted main text
We extend the standard VAR to jointly model the dynamics of binary, censored and continuous variables, and develop an efficient estimation approach that scales well to high-dimensional settings. In an out-of-sample forecasting exercise, we show that the proposed VARs forecast recessions and short-term interest rates well. We demonstrate the utility of the proposed framework using a wide rage of empirical applications, including conditional forecasting and a structural analysis that examines the dynamic effects of a financial shock on recession probabilities.
appendix boundary found by appendix_command · 96% of the source is main text. Read the extracted text to check this.
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 | McCracken MW, McGillicuddy JT, and Owyang MT (2022) Binary conditional forecasts | 1.000 | 6 | 4 | 100% |
| 2 | Carriero A, Clark TE, Marcellino M, and Mertens E (2025) Shadow-rate VARs | 1.000 | 5 | 4 | 100% |
| 3 | Chan JCC, Poon A, and Zhu D (2023) High-dimensional conditionally Gaussian state space models with missing data | 0.874 | 5 | 2 | 100% |
| 4 | Zhang X, Boscardin WJ, Belin TR, Wan X, He Y, and Zhang K (2015) A Bayesian method for analyzing combinations of continuous, ordinal, and nominal categorical data with missing values | 0.843 | 3 | 3 | 100% |
| 5 | Chan JCC, Pettenuzzo D, Poon A, and Zhu D (2024) Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints | 0.737 | 3 | 2 | 100% |
| 6 | Dueker M (2005) Dynamic forecasts of qualitative variables: a Qual VAR model of US recessions | 0.737 | 3 | 2 | 100% |
| 7 | Pettenuzzo D, Poon A, and Zhu D (2025) Modeling and Forecasting Count Data with Bayesian Vector Autoregressions | 0.644 | 2 | 2 | 100% |
| 8 | Antolin-Diaz J, Petrella I, and Rubio-Ramŕez JF (2021) Structural scenario analysis with SVARs | 0.644 | 2 | 2 | 100% |
| 9 | Dueker M, and Assenmacher-Wesche K (2010) Forecasting macro variables with a Qual VAR business cycle turning point index | 0.644 | 2 | 2 | 100% |
| 10 | Carriero A, Chan JCC, Clark TE, and Marcellino MG (2022) Corrigendum to `Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors' | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 45 scored citations.