{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T22:35:11Z","timestamp":1791930911595,"version":"4.3.4"},"reference-count":38,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2009,11,9]],"date-time":"2009-11-09T00:00:00Z","timestamp":1257724800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Action de Recherche Concert\u00e9e","award":["02\/07-281"],"award-info":[{"award-number":["02\/07-281"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2010,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n                  <jats:p>This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co\u2010workers (2008) and show that, when the degree of shrinkage is set in relation to the cross\u2010sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1137","type":"journal-article","created":{"date-parts":[[2009,11,9]],"date-time":"2009-11-09T05:15:57Z","timestamp":1257743757000},"page":"71-92","source":"Crossref","is-referenced-by-count":910,"title":["Large Bayesian vector auto regressions"],"prefix":"10.1002","volume":"25","author":[{"given":"Marta","family":"Ba\u0144bura","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Domenico","family":"Giannone","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lucrezia","family":"Reichlin","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,1,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00024-2"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/0033553053327452"},{"key":"e_1_2_8_4_1","first-page":"117","article-title":"Understanding and comparing factor\u2010based forecasts","volume":"3","author":"Boivin J","year":"2005","journal-title":"International Journal of Central Banking"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527114"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00216-1"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109845"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0048(99)01005-8"},{"key":"e_1_2_8_9_1","doi-asserted-by":"crossref","unstructured":"D'AgostinoA GiannoneD.2006.Comparing alternative predictors based on large\u2010panel factor models. Working paper series 680 European Central Bank.","DOI":"10.2139\/ssrn.931648"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.011"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.932"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938408800053"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2946646"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00079-5"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660809052X"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1162\/jeea.2006.4.2-3.455"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/ma.19.3585335"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2008.05.010"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/261969"},{"key":"e_1_2_8_23_1","unstructured":"HamiltonJD.2006.Computing power and the power of econometrics. Manuscript University of California San Diego."},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199703)12:2<99::AID-JAE429>3.0.CO;2-A"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(01)00080-0"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534619"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391384"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391378"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2005.10.001"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.021"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(02)00206-4"},{"key":"e_1_2_8_32_1","first-page":"4","article-title":"Vector autoregressions: forecasting and reality","volume":"1","author":"Robertson JC","year":"1999","journal-title":"Economic Review"},{"key":"e_1_2_8_33_1","unstructured":"SimsCA.1992.Bayesian inference for multivariate time series with trend. Mimeo Yale University."},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527347"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"e_1_2_8_37_1","unstructured":"StockJH WatsonMW.2005a.An empirical comparison of methods for forecasting using many predictors. Manuscript Princeton University."},{"key":"e_1_2_8_38_1","doi-asserted-by":"crossref","unstructured":"StockJH WatsonMW.2005b.Implications of dynamic factor models for VAR analysis. Manuscript Princeton University.","DOI":"10.3386\/w11467"},{"key":"e_1_2_8_39_1","unstructured":"UhligH.2004.What moves GNP?InEconometric Society 2004 North American Winter Meetings 636 Econometric Society."}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1137","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1137","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1137","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.1137","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1137","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,17]],"date-time":"2024-03-17T10:34:57Z","timestamp":1710671697000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.1137"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,1]]},"references-count":38,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2010,1]]}},"alternative-id":["10.1002\/jae.1137"],"URL":"https:\/\/doi.org\/10.1002\/jae.1137","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,1]]}}}