Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area - Bekiros, Stelios (Economic modelling, 2014)
Keywords: Bayesian analysis; Bayesian method; Bayesian VAR; Eastern Europe; Econometrics; Economic crisis; Economic forecasting; Economic theory; Eurozone; Forecasting; Forecasts; Kalman filter; Robustness; Sovereign debt; Specification; Studies; Time series; Time-varying parameters; Vector-autoregressive models; Western Europe; Europe; Bayesian VAR; C11; C32; Time-varying parameters; C15; Kalman filter; Forecasting