Similar Search Results - EconBiz

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Many recent papers in macroeconomics have used large Vector Autoregressions (VARs) involving a hundred or more dependent variables. With so many parameters to estimate, Bayesian prior shrinkage is vital in achieving reasonable results. Computational concerns currently limit the range of priors...

Persistent link: https://www.econbiz.de/10014108644

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012223665

Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486

Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: International journal of forecasting 39 (2023) 1, pp. 346-363

Persistent link: https://www.econbiz.de/10014462786

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage

Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10010243650

Revisiting money-output causality from a Bayesian logistic smooth transition VECM perspective

Gefang, Deborah (contributor) - 2008

Persistent link: https://www.econbiz.de/10003616518

Bayesian estimation and smoothing of the baseline hazard in discrete time duration models

Campolieti, Michele - In: The review of economics and statistics 82 (2000) 4, pp. 685-694

Persistent link: https://www.econbiz.de/10001533497

Bayesian semiparametric estimation of discrete duration models : an application of the Dirichlet process prior

Campolieti, Michele - In: Journal of applied econometrics 16 (2001) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001557362

Nonlinear impacts of international business cycles on the UK : a Bayesian smooth transition VAR approach

Gefang, Deborah; Strachan, Rodney W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10009514130

A service of the