Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification

DOI10.1016/J.JECONOM.2018.11.008zbMATH Open1452.62411OpenAlexW2900466660WikidataQ128991133 ScholiaQ128991133MaRDI QIDQ1740344FDOQ1740344

Authors: Sylvia Kaufmann, Christian Schumacher 

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.008

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zbMATH Keywords

rotationlarge datasetex-post processingfactor interpretationfactor order permutation

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (15)

• Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
• Scalable Bayesian Estimation in the Multinomial Probit Model
• Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
• Structured prior distributions for the covariance matrix in latent factor models
• Bayesian Computation in Dynamic Latent Factor Models
• Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
• Interpretable Sparse Proximate Factors for Large Dimensions
• Large Order-Invariant Bayesian VARs with Stochastic Volatility
• Invariant inference and efficient computation in the static factor model
• Bayesian Approaches to Shrinkage and Sparse Estimation
• High-dimensional conditionally Gaussian state space models with missing data
• The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
• A flexible predictive density combination for large financial data sets in regular and crisis periods
• Comparing stochastic volatility specifications for large Bayesian VARs
• Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem

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