Reducing the state space dimension in a large TVP-VAR
Publication:2190242
DOI10.1016/J.JECONOM.2019.11.006zbMATH Open1456.62184OpenAlexW2995027080MaRDI QIDQ2190242FDOQ2190242
Joshua C. C. Chan, Eric Eisenstat, Rodney W. Strachan
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.11.006
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (12)
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- A new Bayesian model for contagion and interdependence
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- Precision-based sampling for state space models that have no measurement error
- Large Hybrid Time-Varying Parameter VARs
- Asymmetric conjugate priors for large Bayesian VARs
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- Comparing stochastic volatility specifications for large Bayesian VARs
- Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
- A new taxonomy for vector exponential smoothing and its application to seasonal time series
- Time-dependent shrinkage of time-varying parameter regression models
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