A flexible mixed-frequency vector autoregression with a steady-state prior
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Publication:2019871
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Cites work
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Forecasting Performance of an Open Economy DSGE Model
- Inference with normal-gamma prior distributions in regression problems
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- MIDAS Regressions: Further Results and New Directions
- Macroeconomics and the reality of mixed frequency data
- On Gibbs sampling for state space models
- Priors for the long run
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Sampling-Based Approaches to Calculating Marginal Densities
- Simulation smoothing for state-space models: a computational efficiency analysis
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
- Time series analysis by state space methods.
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