Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models

We document five novel empirical findings on the well-known potential ordering drawback associated with the time-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005). First, the ordering does not affect point prediction. Secon...

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Bibliographic Details
Published in:Journal of econometrics 2023-08, Vol.235 (2), p.1054-1086
Main Authors: Arias, Jonas E., Rubio-Ramírez, Juan F., Shin, Minchul
Format: Article
Language:English
Subjects:
Cholesky decomposition
Dynamic conditional correlation
econometrics
macroeconomics
Out-of-sample forecasting evaluation
prediction
standard deviation
Stochastic volatility
Time-varying parameters
Variable ordering
Vector autoregressions
Wishart process
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