- (2005): “Drifts and volatilities: monetary policies and outcomes in the post WWII US,†Review of Economic Dynamics, 8(2), 262–302.
Paper not yet in RePEc: Add citation now
- (2012): “Forecasting inflation using dynamic model averaging,†International Economic Review, 53(3), 867–886.
Paper not yet in RePEc: Add citation now
- (2012): “Prediction with misspecified models,†The American Economic Review, 102(3), 482–486.
Paper not yet in RePEc: Add citation now
- (2012): “Term structure surprises: the predictive content of curvature, level, and slope,†Journal of Applied Econometrics, 27(4), 574–602.
Paper not yet in RePEc: Add citation now
- (2013): “Large time-varying parameter VARs,†Journal of Econometrics, 177(2), 185–198.
Paper not yet in RePEc: Add citation now
- (2013b): “Dynamic factor volatility modeling: A Bayesian latent threshold approach,†Journal of Financial Econometrics, 11(1), 116–153.
Paper not yet in RePEc: Add citation now
AMISANO, G., AND J. GEWEKE (2017): “Prediction using several macroeconomic models, †Review of Economics and Statistics, 99(5), 912–925.
BAUMEISTER, C., AND L. BENATI (2013): “Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound,†International Journal of Central Banking, 9(2), 165–212.
BELMONTE, M. A., G. KOOP, AND D. KOROBILIS (2014): “Hierarchical Shrinkage in Time-Varying Parameter Models,†Journal of Forecasting, 33(1), 80–94.
BIANCHI, F., H. MUMTAZ, AND P. SURICO (2009): “The great moderation of the term structure of UK interest rates,†Journal of Monetary Economics, 56(6), 856–871. BITTO, A., AND S. FRÜHWIRTH-SCHNATTER (forthcoming): “Achieving shrinkage in a time-varying parameter model framework,†Journal of Econometrics.
BYRNE, J. P., S. CAO, AND D. KOROBILIS (2017): “Forecasting the term structure of government bond yields in unstable environments,†Journal of Empirical Finance, 44, 209–225.
CARRIERO, A., G. KAPETANIOS, AND M. MARCELLINO (2012): “Forecasting government bond yields with large Bayesian vector autoregressions,†Journal of Banking & Finance, 36(7), 2026–2047.
- CARTER, C. K., AND R. KOHN (1994): “On Gibbs sampling for state space models,†Biometrika, 81(3), 541–553.
Paper not yet in RePEc: Add citation now
CHRISTIANO, L. J., M. EICHENBAUM, AND C. L. EVANS (2005): “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,†Journal of Political Economy, 113(1), 1–45.
COGLEY, T., AND T. J. SARGENT (2002): “Evolving post-world war II US inflation dynamics, †in NBER Macroeconomics Annual 2001, Volume 16, pp. 331–388. MIT Press.
COIBION, O. (2012): “Are the Effects of Monetary Policy Shocks Big or Small?,†American Economic Journal: Macroeconomics, 4(2), 1–32.
D’AGOSTINO, A., L. GAMBETTI, AND D. GIANNONE (2013): “Macroeconomic forecasting and structural change,†Journal of Applied Econometrics, 28(1), 82–101.
DIEBOLD, F. X., AND C. LI (2006): “Forecasting the term structure of government bond yields,†Journal of Econometrics, 130(2), 337–364.
- DOAN, T. R., B. R. LITTERMAN, AND C. A. SIMS (1984): “Forecasting and Conditional Projection Using Realistic Prior Distributions,†Econometric Reviews, 3, 1–100.
Paper not yet in RePEc: Add citation now
EISENSTAT, E., J. C. CHAN, AND R. W. STRACHAN (2016): “Stochastic model specification search for time-varying parameter VARs,†Econometric Reviews, 35(8-10), 1638–1665.
- FAVERO, C. A., L. NIU, AND L. SALA (2012): “Term structure forecasting: no-arbitrage restrictions versus large information set,†Journal of Forecasting, 31(2), 124–156.
Paper not yet in RePEc: Add citation now
FELDKIRCHER, M., AND F. HUBER (2016): “Unconventional US Monetary Policy: New Tools, Same Channels?,†Working Papers 208, Oesterreichische Nationalbank (Austrian Central Bank).
- FRÜHWIRTH-SCHNATTER, S. (1994): “Data augmentation and dynamic linear models,†Journal of time series analysis, 15(2), 183–202.
Paper not yet in RePEc: Add citation now
FRÜHWIRTH-SCHNATTER, S., AND H. WAGNER (2010): “Stochastic model specification search for Gaussian and partial non-Gaussian state space models,†Journal of Econometrics, 154(1), 85–100.
GÜRKAYNAK, R. S., B. SACK, AND J. H. WRIGHT (2007): “The US Treasury yield curve: 1961 to the present,†Journal of Monetary Economics, 54(8), 2291–2304.
GEORGE, E. I., D. SUN, AND S. NI (2008): “Bayesian stochastic search for VAR model restrictions,†Journal of Econometrics, 142(1), 553–580.
- GERLACH, R., C. CARTER, AND R. KOHN (2000): “Efficient Bayesian inference for dynamic mixture models,†Journal of the American Statistical Association, 95(451), 819–828.
Paper not yet in RePEc: Add citation now
GEWEKE, J., AND G. AMISANO (2010): “Comparing and evaluating Bayesian predictive distributions of asset returns,†International Journal of Forecasting, 26(2), 216–230.
GIANNONE, D., M. LENZA, AND G. E. PRIMICERI (2012): “Prior selection for vector autoregressions,†Discussion paper, National Bureau of Economic Research.
- GIORDANI, P., AND R. KOHN (2008): “Efficient Bayesian inference for multiple changepoint and mixture innovation models,†Journal of Business & Economic Statistics, 26, 66–77.
Paper not yet in RePEc: Add citation now
- GRIFFIN, J. E., AND P. J. BROWN (2010): “Inference with normal-gamma prior distributions in regression problems,†Bayesian Analysis, 5(1), 171–188.
Paper not yet in RePEc: Add citation now
- HÖRMANN, W., AND J. LEYDOLD (2013): “Generating generalized inverse Gaussian random variates,†Statistics and Computing, 24(4), 1–11.
Paper not yet in RePEc: Add citation now
HUBER, F., AND M. FELDKIRCHER (2018): “Adaptive shrinkage in Bayesian vector autoregressive models,†Journal of Business and Economic Statistics, forthcoming.
KALLI, M., AND J. E. GRIFFIN (2014): “Time-varying sparsity in dynamic regression models,†Journal of Econometrics, 178(2), 779–793.
KASTNER, G. (2016): “Dealing with stochastic volatility in time series using the R package stochvol,†Journal of Statistical Software, 69(5), 1–30.
KASTNER, G., AND S. FRÜHWIRTH-SCHNATTER (2014): “Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models, †Computational Statistics & Data Analysis, 76, 408–423.
KIMURA, T., AND J. NAKAJIMA (2016): “Identifying conventional and unconventional monetary policy shocks: a latent threshold approach,†The BE Journal of Macroeconomics, 16(1), 277–300.
KOOP, G., AND D. KOROBILIS (2010): “Bayesian multivariate time series methods for empirical macroeconomics,†Foundations and Trends in Econometrics, 3(4), 267–358.
KOOP, G., AND S. M. POTTER (2007): “Estimation and forecasting in models with multiple breaks,†The Review of Economic Studies, 74(3), 763–789.
KOOP, G., R. LEON-GONZALEZ, AND R. W. STRACHAN (2009): “On the evolution of the monetary policy transmission mechanism,†Journal of Economic Dynamics and Control, 33(4), 997–1017.
KOOPMAN, S. J., M. I. MALLEE, AND M. VAN DER WEL (2010): “Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters,†Journal of Business & Economic Statistics, 28(3), 329–343.
- KREPS, D. M. (1998): “Anticipated utility and dynamic choice,†Econometric Society Monographs, 29, 242–274.
Paper not yet in RePEc: Add citation now
LEYDOLD, J., AND W. HÖRMANN (2015): GIGrvg: Random variate generator for the GIG distributionR package version 0.4. MAHEU, J. M., AND Y. SONG (2018): “An efficient Bayesian approach to multiple structural change in multivariate time series,†Journal of Applied Econometrics, 33, 251– 270.
- MÖNCH, E. (2008): “Forecasting the yield curve in a data-rich environment: A noarbitrage factor-augmented VAR approach,†Journal of Econometrics, 146(1), 26–43.
Paper not yet in RePEc: Add citation now
- MCCULLOCH, R. E., AND R. S. TSAY (1993): “Bayesian inference and prediction for mean and variance shifts in autoregressive time series,†Journal of the American Statistical Association, 88(423), 968–978.
Paper not yet in RePEc: Add citation now
MUMTAZ, H., AND P. SURICO (2009): “Time-varying yield curve dynamics and monetary policy,†Journal of Applied Econometrics, 24(6), 895–913.
- NAKAJIMA, J., AND M. WEST (2013a): “Bayesian analysis of latent threshold dynamic models,†Journal of Business & Economic Statistics, 31(2), 151–164.
Paper not yet in RePEc: Add citation now
NEELON, B., AND D. B. DUNSON (2004): “Bayesian Isotonic Regression and Trend Analysis, †Biometrics, 60(2), 398–406.
NELSON, C. R., AND A. F. SIEGEL (1987): “Parsimonious modeling of yield curves,†Journal of Business, 60(4), 473–489.
PRIMICERI, G. E. (2005): “Time varying structural vector autoregressions and monetary policy,†The Review of Economic Studies, 72(3), 821–852.
- RAFTERY, A. E., AND S. LEWIS (1992): “How many iterations in the Gibbs sampler?,†in Bayesian Statistics 4, ed. by J. M. Bernardo, J. O. Berger, A. P. Dawid, and A. F. M. Smith, pp. 763–773. Oxford University Press, Oxford.
Paper not yet in RePEc: Add citation now
- RITTER, C., AND M. A. TANNER (1992): “Facilitating the Gibbs sampler: the Gibbs stopper and the griddy-Gibbs sampler,†Journal of the American Statistical Association, 87(419), 861–868.
Paper not yet in RePEc: Add citation now
- ROČKOV, V., AND K. MCALINN (2018): “Dynamic Variable Selection with Spike-andSlab Process Priors,†Working Paper.
Paper not yet in RePEc: Add citation now
SIMS, C. A., AND T. ZHA (2006): “Were there regime switches in US monetary policy?,†The American Economic Review, 96(1), 54–81.
SMETS, F., AND R. WOUTERS (2007): “Shocks and frictions in US business cycles: A Bayesian DSGE approach,†The American Economic Review, 97(3), 586–606.
STOCK, J. H., AND M. W. WATSON (1996): “Evidence on structural instability in macroeconomic time series relations,†Journal of Business & Economic Statistics, 14(1), 11–30.
- URIBE, P. V., AND H. F. LOPES (2017): “Dynamic sparsity on dynamic regression models, †Technical report.
Paper not yet in RePEc: Add citation now
ZHOU, X., J. NAKAJIMA, AND M. WEST (2014): “Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models,†International Journal of Forecasting, 30(4), 963–980.