Large Order-Invariant Bayesian VARs with Stochastic Volatility

DOI10.1080/07350015.2023.2252039MaRDI QIDQ6626250zbMATH OpenFDO

Authors Joshua C. C. Chan, Gary Koop, Xuewen Yu

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2023.2252039

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(4)

• Bayesian Inference of Vector Autoregressions with Tensor Decompositions
• Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
• The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions
• Fast, Order-Invariant Bayesian Inference in VARs Using the Eigendecomposition of the Error Covariance Matrix

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