Banbura, M., Giannone, D. and Reichlin, L. (2010). "Large Bayesian Vector Auto Regressions," Journal of Applied Econometrics, 25, 71-92.
Carriero, A., Clark, T. and Marcellino, M. (2011). "Bayesian VARs: Specification choices and forecast accuracy," Federal Reserve Bank of Cleveland working paper 11-12.
Carter, C. and Kohn, R. (1994). "On Gibbs sampling for state space models," Biometrika, 81, 541--553.
Chipman, H., George, E. and McCulloch, R. (2001). "The practical implementation of Bayesian model selection," pages 65-134 in Institute of Mathematical Statistics Lecture Notes - Monograph Series, Volume 38, edited by P. Lahiri.
Clements, M. and Hendry, D. (1998). Forecasting Economic Time Series. (Cambridge University Press: Cambridge).
Clements, M. and Hendry, D. (1999). Forecasting Non-stationary Economic Time Series. (The MIT Press: Cambridge).
Cogley, T., Morozov, S. and Sargent, T. (2005). "Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system," Journal of Economic Dynamics and Control, 29, 1893-1925.
Cogley, T. and Sargent, T. (2001). "Evolving post World War II inflation dynamics," NBER Macroeconomics Annual, 16, 331-373.
Cogley, T. and Sargent, T. (2005). "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S.," Review of Economic Dynamics, 8, 262-302.
D'Agostino, A., Gambetti, L. and Giannone, D. (2009). "Macroeconomic forecasting and structural change," ECARES working paper 2009-020.
De Mol, C., Giannone, D. and Reichlin, L. (2008). "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?" Journal of Econometrics, 146, 318-328.
Frühwirth-Schnatter, S. (2001). "Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models," Journal of the American Statistical Association, 96, 194-209.
Frühwirth-Schnatter, S. (2006). Finite Mixture and Markov Switching Models. (Springer: New York).
Frühwirth-Schnatter, S. and Wagner, H. (2010). "Stochastic model specification search for Gaussian and partial non-Gaussian state space models," Journal of Econometrics, 154, 85-100.
George, E. and McCulloch, R. (1997). "Approaches for Bayesian variable selection," Statistica Sinica, 7, 339-373.
Kim, S., Shephard, N. and Chib, S. (1998). "Stochastic volatility: likelihood inference and comparison with ARCH models," Review of Economic Studies, 65, 361-93.
Koop, G. and Korobilis, D. (2009). "Forecasting inflation using dynamic model averaging," RCFEA WP 09-34, Rimini Center for Economic Analysis.
Koop, G., Leon-Gonzalez, R., Strachan, R. (2009). "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control 33 (2009), 997-1017.
Park, T. and Casella, G. (2008). "The Bayesian Lasso," Journal of the American Statistical Association 103, 681-686.
Pesaran, M.H., Pettenuzzo, D. and Timmerman, A. (2006). "Forecasting time series subject to multiple structural breaks," Review of Economic Studies, 73, 1057--1084.
Primiceri. G. (2005). "Time varying structural vector autoregressions and monetary policy," Review of Economic Studies, 72, 821-852.
Sims, C. and Zha, T. (2006). "Were there regime switches in macroeconomic policy?" American Economic Review, 96, 54-81.
Stock, J. and Watson, M. (1996). "Evidence on structural instability in macroeconomic time series relations, " Journal of Business and Economic Statistics, 14, 11-30.
Stock, J. and Watson, M. (2006). "Forecasting using many predictors," pp. 515-554 in Handbook of Economic Forecasting, Volume 1, edited by G. Elliott, C. Granger and A. Timmerman, Amsterdam: North Holland.
Stock, J. and Watson, M. (2007). "Why has U.S. inflation become harder to forecast?" Journal of Monetary Credit and Banking 39, 3-33.
Stock, J. and Watson, M. (2011). "Generalized shrinkage methods for forecasting using many predictors," manuscript available at http://www.princeton.edu/~mwatson/papers/ stock_watson_generalized_shrinkage_February_2011.pdf.
References
References