This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor models. The factors are linear combinations of lagged levels and lagged differences, and as such, these observable factors have potential for forecasting. We illustrate this forecast potential in both a Monte Carlo and empirical setting, and demonstrate the difficulties in developi...

* This paper grew out of the Panel Discussion of the workshop " SDGE Models and their use in monetary policy " , held at the European Central Bank, June 5-6, 2001. I would like to thank the participants of the TSM conference in Touluse for comments and suggestions.

We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we show how to amend the VAR if informational sufficiency is rejected. We apply our procedure to a VAR ...

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a typical macroeconomic quarterly data ...

2 VAR models 4 2.1 Analytical results for VAR models . . . . . . . . . . . . . . . . . . . . 4 2.1.1 The Diffuse Prior . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1.2 The Natural Conjugate Prior . . . . . . . . . . . . . . . . . . . 5 2.1.3 The Minnesota Prior . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Estimation of VARs using the Gibbs sampler . . . . . . . . . . . . . 6...

We contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. impose a Normal-inverse Wishart prior adding set of auxiliary dummies in estimating Mixed-Frequency VAR. Based this new “high-frequency” identification scheme, we illustrate our method identifying uncertainty shock for the U.S. economy. As main findings, document “temporal aggregation bias” ...

Vieussens' arterial ring (VAR) is the connection between the conus branch of the right coronary artery and the proximal right ventricular branch of the left anterior descending coronary artery. VARs are found in 48% of the population; however, pathologic VAR is rare. We experienced a case of pathologic VAR that involved a fistula connecting to the main pulmonary artery.