Computationally efficient inference in large Bayesian mixed frequency VARs

DOI10.1016/J.ECONLET.2020.109120MaRDI QIDQ777662zbMATH OpenOpenAlexFDO

Authors Deborah Gefang, Gary Koop, Aubrey Poon

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/71886/

zbMATH Keywords

forecastingvariational inferencevector autoregressionmixed frequencystochastic volatilityhierarchical prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Dirichlet-Laplace priors for optimal shrinkage
• Large time-varying parameter VARs
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• Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors

Cited in

(11)

• Efficient VAR discretization
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• A flexible mixed-frequency vector autoregression with a steady-state prior
• A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• The Bayesian nested Lasso for mixed frequency regression models
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Mixed-frequency vector autoregressive models
• A computationally efficient method for vector autoregression with mixed frequency data
• Macroeconomics and the reality of mixed frequency data

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