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

forecastinghierarchical priormixed frequencystochastic volatilityvariational inferencevector autoregression

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)

Recommendations

• Mixed-frequency vector autoregressive models
• Macroeconomics and the reality of mixed frequency data
• A computationally efficient method for vector autoregression with mixed frequency data
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Bayesian compressed vector autoregressions

Cites work

• Dirichlet-Laplace priors for optimal shrinkage
• Large time-varying parameter VARs
• Macroeconomics and the reality of mixed frequency data
• Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors

Cited in

(12)

• A flexible mixed-frequency vector autoregression with a steady-state prior
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Efficient VAR discretization
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Mixed-frequency vector autoregressive models
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• 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 group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
• Macroeconomics and the reality of mixed frequency data
• A computationally efficient method for vector autoregression with mixed frequency data

This page was built for publication: Computationally efficient inference in large Bayesian mixed frequency VARs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q777662)