Reducing the state space dimension in a large TVP-VAR

DOI10.1016/J.JECONOM.2019.11.006MaRDI QIDQ2190242zbMATH OpenOpenAlexFDO

Authors Joshua C. C. Chan, Eric Eisenstat, Rodney W. Strachan

Publication date 18 June 2020

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.11.006

zbMATH Keywords

large VARreduced rank covariance matrixtime varying parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Bayesian model averaging in the instrumental variable regression model
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Efficient simulation and integrated likelihood estimation in state space models
• Forecasting and conditional projection using realistic prior distributions
• Hierarchical shrinkage in time-varying parameter models
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Invariant inference and efficient computation in the static factor model
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Large time-varying parameter VARs
• On the evolution of the monetary policy transmission mechanism
• Parameter Expansion for Data Augmentation
• Parameter expansion to accelerate EM: the PX-EM algorithm
• Simulation smoothing for state-space models: a computational efficiency analysis
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Stochastic model specification search for time-varying parameter VARs
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(21)

• Efficient VAR discretization
• A new taxonomy for vector exponential smoothing and its application to seasonal time series
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• High-dimensional VAR with low-rank transition
• Maximum likelihood estimation of a TVP-VAR
• Large time-varying parameter VARs
• Structural analysis with multivariate autoregressive index models
• Time varying structural VARs with sign restrictions: the case of Taiwan
• A new Bayesian model for contagion and interdependence
• Asymmetric conjugate priors for large Bayesian VARs
• Precision-based sampling for state space models that have no measurement error
• Comparing stochastic volatility specifications for large Bayesian VARs
• Large Hybrid Time-Varying Parameter VARs
• Time-dependent shrinkage of time-varying parameter regression models
• Fast estimation of a large TVP-VAR model with score-driven volatilities
• Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
• Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
• Stable reduced-rank VAR identification
• Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
• Theory Coherent Shrinkage of Time-Varying Parameters in VARs
• The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions

Describes a project that uses

Uses Software

• bvarsv

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