Gary Koop

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

  • University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

SCHOLARLY PAPERS

33

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351

Scholarly Papers (33)

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1.

A New Index of Financial Conditions

Number of pages: 34 Posted: 06 Jan 2014
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 1,920 (18,434)
Citation 23

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2.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Number of pages: 65 Posted: 30 Nov 2009
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 1,024 (46,849)
Citation 49

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3.

Bayesian dynamic variable selection in high dimensions

Number of pages: 64 Posted: 28 Sep 2018 Last Revised: 22 Nov 2022
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 951 (51,887)
Citation 6

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dynamic linear model, approximate posterior inference, dynamic variable selection, forecasting

4.

Bayesian Compressed Vector Autoregressions

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Jun 2017
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 594 (96,490)
Citation 17

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multivariate time series, random projection, forecasting

5.

Bayesian Methods for Empirical Macroeconomics with Big Data

Review of Economic Analysis 9 (1), 33-56
Number of pages: 24 Posted: 12 Jan 2018
Gary Koop
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 578 (99,877)
Citation 3

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multivariate time series, vector autoregression, state space model

6.

Exchange Rate Predictability and Dynamic Bayesian Learning

Number of pages: 59 Posted: 15 Nov 2018 Last Revised: 01 Aug 2019
Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler
University of Duisburg-Essen - Department of Economics and Business Administration, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and University of Rostock - Department of Economics
Downloads 558 (104,390)
Citation 13

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Exchange Rates, Bayesian Vector Autoregression, Forecasting, Dynamic Portfolio Allocation, Economic Fundamentals

7.

Forecasting Inflation Using Dynamic Model Averaging

Rimini Center for Economic Analysis, WP 34-09
Number of pages: 30 Posted: 26 Aug 2009 Last Revised: 12 Jan 2010
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 404 (153,748)
Citation 6

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Bayesian, State space model, Phillips curve

8.

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

University of Strathclyde Discussion Paper Series No. 09-17
Number of pages: 29 Posted: 22 Nov 2009 Last Revised: 19 Apr 2011
Dimitris Korobilis and Gary Koop
University of Glasgow - Adam Smith Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 253 (253,452)
Citation 4

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Bayesian, state space model, factor model, dynamic model averaging

9.

Model Uncertainty in Panel Vector Autoregressive Models

Number of pages: 25 Posted: 28 Aug 2014
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 223 (286,618)
Citation 10

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Bayesian model averaging, stochastic search variable selection, financial contagion, sovereign debt crisis

10.

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage

CAMA Working Paper No. 08/2019
Number of pages: 29 Posted: 24 Jan 2019
Deborah Gefang, Deborah Gefang, Gary Koop and Aubrey Poon
University of LeicesterUniversity of Leicester - Department of Economics, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Kent - School of Economics
Downloads 199 (319,107)
Citation 26

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Variational inference, Vector Autoregression, Stochastic Volatility, Hierarchical Prior, Forecasting

11.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

FRB of Cleveland Working Paper No. 21-08R
Number of pages: 61 Posted: 22 Mar 2021 Last Revised: 13 Jul 2022
Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Giuseppe Marcellino and Michael Pfarrhofer
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University - Department of Economics and Vienna University of Economics and Business - Department of Economics
Downloads 188 (336,215)
Citation 1

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Nonparametric VAR, regression trees, macroeconomic forecasting, scenario analysis

12.

A New Model of Trend Inflation

Number of pages: 31 Posted: 24 Feb 2012
Joshua C. C. Chan, Joshua C. C. Chan, Gary Koop and Simon Potter
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 184 (342,889)
Citation 24

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constrained inflation, non-linear state space model, underlying inflation, inflation targeting, inflation forecasting, Bayesian

13.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 178 (353,285)
Citation 12

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Forecasting, change-points, Markov switching, Bayesian inference

14.

On Identification of Bayesian DSGE Models

Downloads 176 (356,786)
Citation 8

On Identification of Bayesian DSGE Models

IZA Discussion Paper No. 5638
Number of pages: 39 Posted: 18 Apr 2011 Last Revised: 18 Nov 2021
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 89 (607,868)
Citation 1

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posterior updating, DSGE models, Bayesian identification, New Keynesian Phillips Curve

On Identification of Bayesian DSGE Models

CESifo Working Paper Series No. 3423
Number of pages: 38 Posted: 27 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 87 (616,674)
Citation 7

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Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve

15.

Large Time-Varying Parameter VARs

Number of pages: 36 Posted: 18 Mar 2012
Dimitris Korobilis and Gary Koop
University of Glasgow - Adam Smith Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 162 (383,359)
Citation 9

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Bayesian VAR, forecasting, time-varying coefficients, state-space model

16.

Estimating Phillips Curves in Turbulent Times Using the ECB's Survey of Professional Forecasters

ECB Working Paper No. 1422
Number of pages: 39 Posted: 06 Feb 2012
Gary Koop and Luca Onorante
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Joint Research Centre, Italy
Downloads 161 (385,388)
Citation 1

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inflation expectations, survey of professional forecasters, Phillips curve, Bayesian, financial crisis

17.

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve

CAMA Working Paper No. 10/2014
Number of pages: 35 Posted: 23 Jan 2014 Last Revised: 14 Oct 2014
Joshua C. C. Chan, Joshua C. C. Chan, Gary Koop and Simon Potter
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 158 (391,683)
Citation 26

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trend inflation, non-linear state space model, natural rate of unemployment, inflation targeting, Bayesian

18.

Hierarchical Shrinkage in Time-Varying Parameter Models

Number of pages: 28 Posted: 29 Jun 2011
Miguel Belmonte, Gary Koop and Dimitris Korobilis
affiliation not provided to SSRN, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 132 (452,946)
Citation 18

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Forecasting, hierarchical prior, time-varying parameters, Bayesian Lasso

19.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

FRB of Cleveland Working Paper No. 1520
Number of pages: 50 Posted: 22 Oct 2015
Joshua C. C. Chan, Joshua C. C. Chan, Todd E. Clark and Gary Koop
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 121 (484,916)
Citation 30

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trend inflation, inflation expectations, state space model, stochastic volatility

20.

A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 110 (520,879)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

21.

Reconciled Estimates of Monthly GDP in the US

FRB of Cleveland Working Paper No. 22-01
Number of pages: 73 Posted: 12 Jan 2022
Gary Koop, Stuart G. McIntyre, James Mitchell and Aubrey Poon
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland and University of Kent - School of Economics
Downloads 109 (524,314)

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Mixed frequency; Vector autoregressions; Bayesian methods; Nowcasting; Business cycles; National accounts.

22.

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Number of pages: 35 Posted: 06 Nov 2019
Florian Huber, Gary Koop and Luca Onorante
University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Joint Research Centre, Italy
Downloads 104 (542,639)
Citation 17

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hierarchical priors, shrinkage, sparsity, time varying parameter regression

23.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Number of pages: 17 Posted: 24 Feb 2012
Joshua C. C. Chan, Joshua C. C. Chan and Gary Koop
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 104 (542,639)
Citation 1

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24.

Bayesian Modeling of Time-Varying Parameters Using Regression Trees

FRB of Cleveland Working Paper No. 23-05, https://doi.org/10.26509/frbc-wp-202305
Number of pages: 47 Posted: 13 Jan 2023 Last Revised: 19 Sep 2023
Niko Hauzenberger, Florian Huber, Gary Koop and James Mitchell
University of Salzburg, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of Cleveland
Downloads 92 (588,714)

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Bayesian Vector Autoregression, Time-varying Parameters, Nonparametric Modeling, Machine Learning, Regression Trees, Phillips Curve, Business Cycle Shocks

25.

Nowcasting ‘True’ Monthly US GDP During the Pandemic

CAMA Working Paper No. 14/2021
Number of pages: 37 Posted: 27 Jan 2021
Gary Koop, Stuart G. McIntyre, James Mitchell and Aubrey Poon
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, affiliation not provided to SSRN and University of Kent - School of Economics
Downloads 88 (605,034)

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Pandemic, Nowcasting, Income, Expenditure, Mixed frequency model, Vector Autoregression, Bayesian

26.

Forecasting US Inflation Using Bayesian Nonparametric Models

FRB of Cleveland Working Paper No. 22-05
Number of pages: 39 Posted: 03 Mar 2022
Todd Clark, Florian Huber, Gary Koop and Massimiliano Giuseppe Marcellino
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Bocconi University - Department of Economics
Downloads 86 (613,664)

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nonparametric regression, Gaussian process, Dirichlet process mixture, inflation forecasting

27.

Bayesian Inference in a Time Varying Cointegration Model

Number of pages: 37 Posted: 01 Aug 2011
Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 75 (663,292)
Citation 2

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Bayesian, time varying cointegration, error correction model, reduced rank regression, Markov Chain Monte Carlo

28.

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

CAMA Working Paper No. 26/2018
Number of pages: 44 Posted: 03 Jun 2018
Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop
University of Technology Sydney (UTS), Eisenstat, Hunan University - Center for Economics, Finance and Management Studies and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 66 (709,787)
Citation 4

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Bayesian, large VAR, composite likelihood, prediction pools, stochastic volatility

29.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Joshua C. C. Chan, Joshua C. C. Chan, Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 66 (709,787)
Citation 6

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30.

Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting

FRB of Cleveland Working Paper No. 23-09, https://doi.org/10.26509/frbc-wp-202309
Number of pages: 38 Posted: 08 May 2023
Gary Koop, Stuart G. McIntyre, James Mitchell, Aubrey Poon and Ping Wu
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland, University of Kent - School of Economics and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 60 (744,418)

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Regional data, Mixed-frequency data, Missing data, Nowcasting, Factors, Bayesian methods, Real-time data, Vector autoregressions

31.

Nowcasting in a Pandemic Using Non-Parametric Mixed Frequency VARs

ECB Working Paper No. 2021/2510
Number of pages: 42 Posted: 05 Mar 2021
Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer and Josef Schreiner
University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Joint Research Centre, Italy, Vienna University of Economics and Business - Department of Economics and Oesterreichische Nationalbank (OeNB)
Downloads 49 (818,335)
Citation 30

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32.

Using Stochastic Hierarchical Aggregation Constraints to Nowcast Regional Economic Aggregates

FRB of Cleveland Working Paper No. 22-06
Number of pages: 66 Posted: 07 Mar 2022
Gary Koop, Stuart G. McIntyre, James Mitchell and Aubrey Poon
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland and University of Kent - School of Economics
Downloads 46 (841,414)
Citation 1

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Regional data, Mixed frequency, Nowcasting, Bayesian methods, Real-time data, Vector autoregressions

33.

Predictive Density Combination Using a Tree-Based Synthesis Function

FRB of Cleveland Working Paper No. 23-30, https://doi.org/10.26509/frbc-wp-202330
Number of pages: 60 Posted: 22 Nov 2023
Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop and James Mitchell
Bank of Canada, University of Salzburg, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of Cleveland
Downloads 26 (1,032,556)
Citation 1

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Forecast density combination, Bayesian nonparametrics, Bayesian predictive synthesis

Other Papers (1)

Total Downloads: 40
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1.

Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series'

Number of pages: 42 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 40

Abstract:

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Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference