APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs

DOI10.1111/iere.12577zbMath1530.91469arXiv2103.04944OpenAlexW3140022350MaRDI QIDQ6088641

Martin Feldkircher, Florian Huber, Michael Pfarrhofer, Gary Koop

Publication date: 16 November 2023

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.04944

Mathematics Subject Classification ID

Bayesian inference (62F15) Economic time series analysis (91B84)

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