Gary Koop

Search results

• 2023

  Investigating Growth at Risk Using a Multicountry Non-parametric Quantile Factor Model

  Clark, T. E., Huber, F., Koop, G., Marcellino, M. & Pfarrhofer, M., 28 Jul 2023, Glasgow: University of Strathclyde, 28 p. (Strathclyde Discussion Papers in Economics; vol. 23-07).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Factor Model 100%
  • Quantile 100%
  • Markov Chain Monte Carlo 25%
  • Panel Quantile Regression 25%

• Bayesian Modelling of TVP-VARs Using Regression Trees

  Hauzenberger, N., Huber, F., Koop, G. & Mitchell, J., 27 Jul 2023, Glasgow: University of Strathclyde, 45 p. (Strathclyde Discussion Papers in Economics; vol. 23-08).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Illustrates 100%
  • Parameter Model 100%
  • Regression tree 100%
  • Macroeconomic Data 50%

• Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix

  Wu, P. & Koop, G., 27 Jul 2023, Glasgow: University of Strathclyde, 38 p. (Strathclyde Discussion Papers in Economics; vol. 23-10).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian Inference 100%
  • Covariance Matrix 100%
  • Vector Autoregression 100%
  • Error Covariance 100%
  • Eigenvalue 28%

• Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations

  Huber, F., Koop, G. & Pfarrhofer, M., 28 Jun 2023, Glasgow: University of Strathclyde, 21 p. (Strathclyde Discussion Papers in Economics; vol. 23-04).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian Inference 100%
  • Gaussian Distribution 100%
  • Time-Varying Parameter 100%
  • Dimensional Time 100%
  • Bayesian 100%

• Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: the Importance of Model Size, Order-Invariance and Classification

  Davidson, S. N., Hou, C. & Koop, G., 28 Jun 2023, Glasgow: University of Strathclyde, 40 p. (Strathclyde Discussion Papers in Economics; vol. 23-06).

  Research output: Working paper › Discussion paper

  Open Access

  File
  2 Downloads (Pure)

• Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks

  Huber, F. & Koop, G., 29 May 2023, Glasgow: University of Strathclyde, 37 p. (Strathclyde Discussion Papers in Economics; vol. 23-09).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Parametric 100%
  • Vector Autoregression 100%
  • Autoregression 100%
  • Gaussian Distribution 100%

• Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods

  Hauzenberger, N., Huber, F. & Koop, G., 15 May 2023, Glasgow: University of Strathclyde, 37 p. (Strathclyde Discussion Papers in Economics; vol. 23-05).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Markov Chain Monte Carlo 100%
  • Monte Carlo Simulation 100%
  • Time-Varying Parameter 100%
  • Yield Curve 33%
  • Autoregression 33%

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

  Koop, G., McIntyre, S., Mitchell, J., Poon, A. & Wu, P., 25 Apr 2023, Glasgow: University of Strathclyde, 38 p. (Strathclyde Discussion Papers in Economics; vol. 23-11).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Data Series 100%
  • Growth Data 100%
  • Regional Economics 100%
  • Time Series 33%
• 2021

  Nowcasting 'True' Monthly US GDP During the Pandemic

  Koop, G., McIntyre, S., Mitchell, J. & Poon, A., 22 Jan 2021, Glasgow: University of Strathclyde, 36 p. (Strathclyde Discussion Papers in Economics; vol. 21, no. 1).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Nowcasting 100%
  • Outlier 100%
  • Conditionals 25%
  • Forecasting 25%
  • Stochastic Volatility 25%
  48 Downloads (Pure)
• 2018

  Regional Output Growth in the United Kingdom: More Timely And Higher Frequency Estimates,1970-2017

  Koop, G., McIntyre, S., Mitchell, J. & Poon, A., 20 Nov 2018, London, p. 1-54, 54 p.

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Regional Economics 100%
  • Machine Learning 100%
  • Autoregressive Model 100%
  • Value Added 100%
  56 Downloads (Pure)
• 2014

  Nowcasting Scottish GDP Growth

  Allan, G., Koop, G., McIntyre, S. & Smith, P., 2 Dec 2014, Glasgow: University of Strathclyde, 33 p. (Strathclyde Discussion Papers in Economics; vol. 14-11).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Nowcasting 100%
  • Growth 100%
  • Macroeconomics 25%
  • Macroeconomic Variable 25%
  • Government 12%
  44 Downloads (Pure)

• Large Bayesian VARMAs

  Chan, J. C. C., Eisenstat, E. & Koop, G., 25 Sept 2014, Glasgow: University of Strathclyde, 42 p. (Strathclyde Discussion Papers in Economics; vol. 14-09).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Models 100%
  • Algorithms 100%
  • Identification 100%
  • Bayesian 100%
  • Moving Average 50%
  26 Downloads (Pure)

• Model Uncertainty in Panel Vector Autoregressive Models

  Koop, G. & Korobilis, D., 22 Aug 2014, Glasgow: University of Strathclyde, 26 p. (Strathlcyde Discussion Papers in Economics; vol. 14-08).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Autoregressive Model 100%
  • Bayesian 66%
  • Debt Crisis 66%
  • Euro 66%
  13 Downloads (Pure)

• The Known Unknowns of Governance

  Desbordes, R. & Koop, G., 22 Jul 2014, Glasgow: University of Strathclyde, 34 p. (Strathclyde Discussion Papers in Economics; vol. 14-07).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • International Trade 100%
  • Information 100%
  • Development of Economics 100%
  13 Downloads (Pure)
• 2013

  A New Index of Financial Conditions

  Koop, G. & Korobilis, D., 12 Mar 2013, Glasgow: University of Strathclyde, 25 p. (Strathlcyde Discussion Papers in Economics; vol. 13-07).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Autoregressive Model 100%
  24 Downloads (Pure)

• Model Switching and Model Averaging in Time-Varying Parameter Regression Models

  Belmonte, M. & Koop, G., 31 Jan 2013, Glasgow: University of Strathclyde, 26 p. (Strathlcyde Discussion Papers in Economics; vol. 13-02).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Time-Varying Parameter 100%
  • Regression Model 100%
  • State Space Model 33%
  21 Downloads (Pure)

• Using VARs and TVP-VARs with Many Macroeconomic Variables

  Koop, G., 14 Jan 2013, Glasgow: University of Strathclyde, 35 p. (Strathclyde Discussion Papers in Economics; vol. 13-03).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Model Selection 100%
  • Macroeconomic Variable 100%
  • Macroeconomic Data 50%
  17 Downloads (Pure)
• 2012

  Estimating the Impact on Efficiency of the Adoption of a Voluntary Environmental Standard: an Empirical Study of the Global Copper Mining Industry

  Tole, L. & Koop, G., 6 Mar 2012, Glasgow: University of Strathclyde, 29 p. (Strathclyde Discussion Papers in Economics; vol. 11-36).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Efficiency 100%
  • Mining Industry 100%
  • Environmental Standard 100%
  • Operating Procedure 33%
  • Panel Study 16%
  22 Downloads (Pure)

• A New Model of Trend Inflation

  Chan, J. C. C., Koop, G. & Potter, S. M., 13 Feb 2012, Glasgow: University of Strathclyde, 34 p. (Strathclyde Discussion Papers in Economics; vol. 12-02).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Inflation 100%
  • Trend 100%
  • Volatility 12%
  • Econometrics 12%
  • State Space Model 12%
  19 Downloads (Pure)
• 2011

  Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada

  Campolieti, M., Gefang, D. & Koop, G., 24 Sept 2011, Glasgow: University of Strathclyde, 38 p. (Strathclyde Discussion Papers in Economics; vol. 11-38).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Unemployment 100%
  • Vacancy 100%
  22 Downloads (Pure)

• Hierarchical Shrinkage in Time-varying Parameter Models

  Belmonte, M., Koop, G. & Korobilis, D., 30 Jun 2011, Glasgow: University of Strathclyde, 33 p. (Strathclyde Discussion Papers in Economics; vol. 11-37).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Time-Varying Parameter 100%
  • Parameter Model 100%
  • Bayesian 50%
  • Econometric Methodology 25%
  • Inflation 25%
  18 Downloads (Pure)

• Regime-Switching Cointegration

  Jochmann, M. & Koop, G., 16 May 2011, Glasgow: University of Strathclyde, 23 p. (Strathclyde Discussion Papers in Economics; vol. 11-25).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Cointegration 100%
  • Regime Switching 100%
  • Model Selection 50%
  20 Downloads (Pure)

• Time Varying Dimension Models

  Chan, J. C. C., Koop, G., Leon-Gonzalez, R. & Strachan, R. W., 11 May 2011, Glasgow: University of Strathclyde, 34 p. (Strathclyde Discussion Papers in Economics; vol. 11-16).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Time-Varying Parameter 100%
  • Inflation 33%
  • Bayesian 33%
  • Macroeconomics 33%
  • Mixture Model 33%
  16 Downloads (Pure)

• On Identification of Bayesian DSGE Models

  Koop, G., Pesaran, M. H. & Smith, R. P., 30 Mar 2011, Glasgow: University of Strathclyde, 38 p. (Strathlcyde Discussion Papers in Economics; vol. 11-08).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Estimation Theory 20%
  • Sample Size 20%
  15 Downloads (Pure)

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

  Koop, G. & Onorante, L., 28 Feb 2011, Glasgow: University of Strathclyde, 35 p. (Strathclyde Dicussion Papers in Economics; vol. 11-09).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Phillips Curve 100%
  • Inflation 25%
  • Inflation Expectations 25%
  • European Central Bank 25%
  • Euro 25%
  17 Downloads (Pure)

• Forecasting the European Carbon Market

  Koop, G. & Tole, L., 28 Feb 2011, Glasgow: University of Strathclyde, 40 p. (Strathclyde Discussion Papers in Economics; vol. 11-10).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Markets 100%
  • Carbon 100%
  • Greenhouse Gas Emissions 100%
  • European Union Emission Trading System 85%
  • Forecasting Model 57%
  27 Downloads (Pure)

• Bayesian Model Averaging in the Instrumental Variable Regression Model

  Koop, G., Leon-Gonzalez, R. & Strachan, R., 31 Jan 2011, Glasgow: University of Strathclyde, 49 p. (Strathclyde Discussion Papers in Economics; vol. 11-12).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Instrumental Variables 100%
  • Bayesian 100%
  • Regression Model 100%
  • Returns to Education 33%
  • Markov Chain Monte Carlo 33%
  28 Downloads (Pure)

• Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

  Chan, J. C. C. & Koop, G., 31 Jan 2011, Glasgow: University of Strathclyde, 17 p. (Strathclyde Discussion Papers in Economics; vol. 11-11).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Econometric Methodology 100%
  • Bayesian 100%
  • Macroeconomic Variable 100%
  24 Downloads (Pure)

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

  Bauwens, L., Koop, G., Korobilis, D. & Rombouts, J. V. K., 24 Jan 2011, Glasgow: University of Strathclyde, 47 p. (Strathclyde Discussion Papers in Economics; vol. 11-13).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Macroeconomics 100%
  • Serials 100%
  • Contribution 100%
  • Comparison 100%
  • Procedure 100%
  22 Downloads (Pure)
• 2010

  Forecasting Inflation Using Dynamic Model Averaging

  Koop, G. & Korobilis, D., 30 Nov 2010, Glasgow: University of Strathclyde, 33 p. (Strathclyde Discussion Papers in Economics; vol. 11-19).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Inflation 100%
  • Econometrics 50%
  • Phillips Curve 50%
  • Forecasting Model 50%
  35 Downloads (Pure)

• Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis

  Gefang, D., Koop, G. & Potter, S. M., 31 Oct 2010, Glasgow: University of Strathclyde, 45 p. (Strathclyde Discussion Papers in Economics; vol. 11-15).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Equations 100%
  • Statistical Inference 100%
  • Measurement 100%
  • Liquidity 100%
  • Analysis 100%
  10 Downloads (Pure)

• Understanding Liquidity and Credit Risks in the Financial Crisis

  Gefang, D., Koop, G. & Potter, S. M., 31 Oct 2010, Glasgow: University of Strathclyde, 27 p. (Strathclyde Discussion Papers in Economics; vol. 11-14).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Liquidity 100%
  • Surges 20%
  • Factor Model 20%
  60 Downloads (Pure)

• Forecasting with Medium and Large Bayesian VARS

  Koop, G., 28 Feb 2010, Glasgow: University of Strathclyde, 35 p. (Strathclyde Discussion Papers in Economics; vol. 11-17).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Bayesian 100%
  • Method Factor 50%
  • Variables 25%
  • Number 25%
  • Forecasting 25%
  92 Downloads (Pure)
• 2009

  Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

  Jochmann, M., Koop, G., Leon-Gonzalez, R. & Strachan, R. W., 30 Sept 2009, Glasgow: University of Strathclyde, 47 p. (Strathclyde Discussion Papers in Economics; vol. 09-19).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Search 100%
  • Macroeconomic Model 50%
  • Cointegration 50%
  22 Downloads (Pure)

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

  Koop, G. & Korobilis, D., 20 Aug 2009, Glasgow: University of Strathclyde, 31 p. (Strathclyde Discussion Papers in Economics; vol. 09-17).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Macroeconomics 100%
  • Forecasting Model 100%
  • Model Selection 66%
  • Inflation 33%
  • Information 33%
  39 Downloads (Pure)

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

  Koop, G. & Korobilis, D., 29 Jul 2009, Glasgow: University of Strathclyde, 31 p. (Strathclyde Discussion Papers in Economics; vol. 11-18).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Information 100%
  • Macroeconomics 100%
  • Price 100%
  • Inflation 100%
  • Time Series 100%
• 2008

  The Dynamics of UK and US Inflation Expectations

  Gefang, D., Koop, G. & Potter, S. M., 31 Dec 2008, Glasgow: University of Strathclyde, 35 p. (Strathclyde Discussion Papers in Economics; vol. 11-20).

  Research output: Working paper › Discussion paper

  Open Access

  File

  • Inflation Expectations 100%
  • Inflation 50%
  • Econometric Methodology 16%
  25 Downloads (Pure)