We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in …-t distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute … Student-t residuals shows that it is computationally easy to include the COVID-19 observations in Bayesian panel VARs, thus …

effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest …

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version … unit specific heterogeneity. We analytically demonstrate under which conditions the one-stage and two-stage GMM estimators … approach is illustrated with the estimation of a dynamic gravity equation for U.S. outward foreign direct investment. …

panel model for eleven euro area countries over the last two decades. The results suggest that there is a statistically …

We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the …

-level data for household debt from the FRBNY Consumer Credit Panel over the period 1999Q1 to 2012Q4 and employs the Pooled Mean …