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Title:Forecasting large datasets with reduced rank multivariate models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance with the ...
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance with the ...
Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7008Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7008Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:A shrinkage instrumental variable estimator for large datasets Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Title:Forecasting with dynamic models using shrinkage-based estimation Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Title:Cross-sectional averaging and instrumental variable estimation with many weak instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Title:Factor based identification-robust inference in IV regressions Author(s):KAPETANIOS, George; KHALAF, Lynda; MARCELLINO, MassimilianoDate:2015Type:Working PaperSeries/Number:CEPR Discussion Paper; 2015/10390
Date:2015Type:Working PaperSeries/Number:CEPR Discussion Paper; 2015/10390
Title:Factor based identification-robust inference in IV regressions Author(s):KAPETANIOS, George; KHALAF, Lynda; MARCELLINO, MassimilianoDate:2016Citation:
- Journal of applied econometrics, 2016, Vol. 31, No. 5, pp. 821–842
Type:ArticleAbstract:Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power trade-offs resulting from weak or many instruments. ...
Date:2016Citation:
Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Citation:
- International Journal of Forecasting, 2009, 25, 2, 400-417
Type:ArticleAbstract:Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2009Citation: