Concepedia

Vector Autoregression Forecasting

Vector Autoregression Forecasting is a multivariate time series forecasting method that models each variable as a linear function of its own past values and the past values of all other variables in the system, thereby capturing dynamic interrelationships among economic or financial variables for predictive analysis.

339

Publications

27.9K

Citations

632

Authors

418

Institutions

Publications per year

2017–2026

100

Parents

Publications

339

Macroeconomic Forecasting Using Diffusion Indexes

James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics · 2002 · 2.6K citations

, , +13

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

, , +17

Are Forecasting Models Usable for Policy Analysis?

Christopher Sims · Quarterly Review · 1986 · 1.2K citations · Full text

, , +11

Large Bayesian vector auto regressions

Marta Bańbura, Domenico Giannone, Lucrezia Reichlin · Journal of Applied Econometrics · 2009 · 1.2K citations

, , +17

Forecasting With Bayesian Vector Autoregressions—Five Years of Experience

Robert B. Litterman · Journal of Business and Economic Statistics · 1986 · 1.1K citations

, , +16

1–5 of 339

Authors

632

  1. RB
    Robert B. Litterman

    Federal Reserve Bank of Minneapolis, United States

    8 publications · 1.9K citations

    8

    h-index

  2. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    8 publications · 513 citations

    8

    h-index

  3. FS
    Frank Schorfheide

    University of Pennsylvania, United States

    7 publications · 1K citations

    7

    h-index

  4. ML
    Michèle Lenza

    European Central Bank, Germany

    6 publications · 1.1K citations

    6

    h-index

  5. AC
    Andrea Carriero

    Bocconi University, Italy

    6 publications · 391 citations

    6

    h-index

1–5 of 632

Institutions

418

  1. Centre for Economic Policy Research

    London, United Kingdom

    15 h-index

    23 publications

    3.6K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    14 h-index

    19 publications

    12.5K citations

  3. European Central Bank

    Frankfurt am Main, Germany

    12 h-index

    16 publications

    2.6K citations

  4. Texas A&M University

    College Station, United States

    10 h-index

    16 publications

    587 citations

  5. University of Pennsylvania

    Philadelphia, United States

    8 h-index

    8 publications

    1K citations

  6. Federal Reserve Bank of Minneapolis

    Minneapolis, United States

    7 h-index

    9 publications

    1.6K citations

  7. Federal Reserve Bank of St. Louis

    St Louis, United States

    7 h-index

    9 publications

    328 citations

  8. Bocconi University

    Milan, Italy

    6 h-index

    8 publications

    487 citations

1–8 of 418

Venues

  1. SSRN Electronic Journal

    Repository · 35 publications · 1.5K citations

    20

    h-index

  2. Journal of Forecasting

    22 publications · 914 citations

    18

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 17 publications · 5.5K citations

    16

    h-index

  4. International Journal of Forecasting

    14 publications · 645 citations

    13

    h-index

  5. Journal of Applied Econometrics

    11 publications · 2.3K citations

    10

    h-index

1–5