Economics, Econometrics and Finance
4 years ago

Forecasting the Future: Large BVAR Models Revolutionize Economic Analysis

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RePEc: Research Papers in Economics
Bayesian VARs with Large Panels
Marta Bańbura, Domenico Giannone, Lucrezia Reichlin

Paper Summary

The study looked at how well different sizes of models can predict the economy. They compared models with three or eight variables to ones with over a hundred. The big models did a good job at predicting and analyzing the effects of monetary policy on the economy.

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