High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
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Cites work
- 10.1162/15324430152748236
- A GAMP-Based Low Complexity Sparse Bayesian Learning Algorithm
- Bayesian estimation of DSGE models
- Bayesian multivariate time series methods for empirical macroeconomics
- Bayesian reasoning and machine learning.
- Dynamic shrinkage processes
- Dynamic variable selection with spike-and-slab process priors
- Estimation and Forecasting in Models with Multiple Breaks
- Estimation in the Presence of Stochastic Parameter Variation
- Factor graphs and the sum-product algorithm
- Fixed Points of Generalized Approximate Message Passing With Arbitrary Matrices
- Forecasting Macroeconomic Variables Under Model Instability
- Forecasting inflation using dynamic model averaging
- Hierarchical shrinkage in time-varying parameter models
- Pattern recognition and machine learning.
- Patterns of scalable Bayesian inference
- Social and economic networks.
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Sufficient Conditions for Convergence of the Sum–Product Algorithm
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Time-varying sparsity in dynamic regression models
Cited in
(5)- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Matrix autoregressive models: generalization and Bayesian estimation
- Finite- and large sample inference for model and coefficients in high-dimensional linear regression with repro samples
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- Bayesian variable selection for matrix autoregressive models
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