Similar Search Results

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 212 (2019) 1, pp. 137-154

Persistent link: https://www.econbiz.de/10012303905

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

Persistent link: https://www.econbiz.de/10011389735

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

Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility

Clark, Todd E. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 327-341

Persistent link: https://www.econbiz.de/10009232552

High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction

Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020

Persistent link: https://www.econbiz.de/10012373015

Large hybrid time-varying parameter VARs

Chan, Joshua - 2019

Persistent link: https://www.econbiz.de/10012224555

Chapter 15. Forecasting with Bayesian Vector Autoregression

Karlsson, Sune - 2013

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by … extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special …

Persistent link: https://www.econbiz.de/10014025233