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The Journal of Economic Perspectives, ISSN 0895-3309, 10/2001, Volume 15, Issue 4, pp. 101 - 115
This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy... 
Error rates | Vector autoregression | Inflation shocks | Unemployment rates | Monetary policy | Inflation rates | Macroeconomic modeling | Symposium: Econometric Tools | Unemployment | Analytical forecasting | Interest rates | MONETARY-POLICY | MONEY | ECONOMICS | MODELS | SENSE | Autoregression (Statistics) | Usage | Econometrics | Macroeconomics | Regression analysis
Journal Article
Review of Economics and Statistics, ISSN 1530-9142, 05/2015, Volume 97, Issue 2, pp. 436 - 451
Abstract Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables.... 
ARTICLES | HIERARCHICAL SHRINKAGE | INFLATION | FORECASTS | MONETARY-POLICY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | SHOCKS | Autoregression (Statistics) | Interpersonal relations | Macroeconomics | Analysis
Journal Article
Journal of Economic Surveys, ISSN 0950-0804, 04/2016, Volume 30, Issue 2, pp. 377 - 392
Long‐run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically... 
vector autoregression | Conditional heteroskedasticity | heteroskedasticity | vector GARCH | Markov switching model | Vector autoregression | Vector GARCH | Heteroskedasticity | MONETARY-POLICY SHOCKS | IDENTIFICATION | MARKOV-SWITCHING MODELS | DEMAND | FLUCTUATIONS | ECONOMICS | VOLATILITY | TECHNOLOGY | PERMANENT | Studies | Stock prices | Economic theory | Volatility
Journal Article
Journal of Economic Literature, ISSN 0022-0515, 12/2011, Volume 49, Issue 4, pp. 938 - 960
The paper provides a review of the estimation of structural vector autoregressions with sign restrictions. It is shown how sign restrictions solve the... 
Demand shocks | Economic models | Statistical variance | Vector autoregression | Monetary policy | Supply shocks | Macroeconomic modeling | Standard deviation | Modeling | Parametric models | DISTURBANCES | EURO AREA | OUTPUT | EXCHANGE-RATES | FLUCTUATIONS | DYNAMICS | MONETARY-POLICY | SYSTEMS | ECONOMICS | SHOCKS | AGNOSTIC IDENTIFICATION | Studies | Macroeconomics | Economic conditions
Journal Article
Annals of Statistics, ISSN 0090-5364, 06/2017, Volume 45, Issue 3, pp. 1096 - 1123
We consider here a large-scale social network with a continuous response observed for each node at equally spaced time points. The responses from different... 
Social network | Multivariate time series | Vector autoregression | Ordinary least squares | social network | vector autoregression | DISTRIBUTIONS | REGRESSION | DIRECTED-GRAPHS | NUMBER | MODELS | UNIVARIATE TIME-SERIES | STATISTICS & PROBABILITY | ordinary least squares | SELECTION
Journal Article
Journal of Econometrics, ISSN 0304-4076, 06/2015, Volume 186, Issue 2, pp. 325 - 344
This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive... 
High-dimensional data | Oracle inequality | VAR | Adaptive LASSO | LASSO | REGRESSION | VARIABLE SELECTION | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SHRINKAGE | MODEL SELECTION | BRIDGE ESTIMATORS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
The Review of Economic Studies, ISSN 0034-6527, 4/2010, Volume 77, Issue 2, pp. 665 - 696
Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic stochastic general equilibrium (DSGE)... 
Economic models | Sufficient conditions | Demand shocks | Vector autoregression | Economic theory | Federal Reserve Bank | Monetary policy | Inference | Matrices | Parametric models | COVARIANCE RESTRICTIONS | MODELS | OUTPUT | FLUCTUATIONS | MONETARY-POLICY | MACROECONOMICS | ECONOMICS | NORMALIZATION | SHOCKS | Federal Reserve banks | Algorithms | Taoism | Analysis
Journal Article
The Review of Economic Studies, ISSN 0034-6527, 7/2005, Volume 72, Issue 3, pp. 821 - 852
Monetary policy and the private sector behaviour of the U.S. economy are modelled as a time varying structural vector autoregression, where the sources of time... 
Economic models | Statistical variance | Vector autoregression | Monetary policy | Inflation rates | Coefficients | Covariance matrices | Unemployment | Parametric models | Interest rates | MAXIMUM-LIKELIHOOD-ESTIMATION | COVARIANCE-MATRIX | SERIES | MODELS | MACROECONOMIC STABILITY | LONGITUDINAL DATA | ECONOMICS | STOCHASTIC VOLATILITY | STATE-SPACE | VARIANCE | SELECTION
Journal Article
Journal of Econometrics, ISSN 0304-4076, 04/2019, Volume 209, Issue 2, pp. 238 - 255
Journal Article
Journal of Econometrics, ISSN 0304-4076, 06/2016, Volume 192, Issue 2, pp. 485 - 498
This paper proposes a new nonlinear vector autoregressive (VAR) model referred to as the Gaussian mixture vector autoregressive (GMVAR) model. The GMVAR model... 
Nonlinear vector autoregressive models | Regime switching | Mixture models | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | TIME-SERIES | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | Analysis | Gaussian processes
Journal Article
The Stata Journal, ISSN 1536-867X, 9/2016, Volume 16, Issue 3, pp. 778 - 804
Panel vector autoregression (VAR) models have been increasingly used in applied research. While programs specifically designed to fit time-series VAR models... 
pvarstable | Panel | pvarsoc | pvar | st0455 | Vector autoregression | pvargranger | pvarirf | VAR | Dynamic panel | pvarfevd | vector autoregression | LIQUIDITY | SEARCH | BIAS | GMM | STATISTICS & PROBABILITY | DATA MODELS | DYNAMIC-MODELS | HOUSE PRICES | CONSTRUCTION | SOCIAL SCIENCES, MATHEMATICAL METHODS | dynamic panel | panel | Autoregression (Statistics) | Technology application | Vector analysis | Analysis
Journal Article
Handbook of Macroeconomics, ISSN 1574-0048, 2016, Volume 2, pp. 415 - 525
This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also... 
Structural shocks | Factor-augmented vector autoregressions | Structural vector autoregressions | Large-model forecasting | State-space models | Nowcasting | Principal components
Conference Proceeding
Journal of Econometrics, ISSN 0304-4076, 02/2017, Volume 196, Issue 2, pp. 288 - 304
Journal Article
IEEE Transactions on Signal Processing, ISSN 1053-587X, 03/2019, Volume 67, Issue 5, pp. 1207 - 1222
Journal Article
Biometrika, ISSN 0006-3444, 12/2016, Volume 103, Issue 4, pp. 889 - 903
We consider a class of vector autoregressive models with banded coefficient matrices. This setting represents a type of sparse structure for high-dimensional... 
Vector autoregressive model | Bayesian information criterion | Banded auto-coefficient matrix | Frobenius norm | MODELS | LARGE COVARIANCE MATRICES | BIOLOGY | MATHEMATICAL & COMPUTATIONAL BIOLOGY | TIME-SERIES | STATISTICS & PROBABILITY | REGULARIZED ESTIMATION | AUTOCOVARIANCE MATRICES
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 09/2016, Volume 101, pp. 110 - 120
Bayesian shrinkage priors have been very popular in estimating vector autoregressions (VARs) of possibly large dimensions. Many of these priors are not... 
Bayesian model selection | Large vector autoregression | Shrinkage | Forecasting | Spike and slab priors | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | Panels | Heterogeneity | Monte Carlo methods | Mathematical analysis | Estimating | Mathematical models | Vectors (mathematics)
Journal Article
Econometrica, ISSN 0012-9682, 03/2018, Volume 86, Issue 2, pp. 685 - 720
Journal Article
Econometric Theory, ISSN 0266-4666, 6/2013, Volume 29, Issue 3, pp. 447 - 481
Journal Article