Bayesian VARs and prior calibration in times of COVID-19

DOI10.1515/SNDE-2021-0108MaRDI QIDQ6645221zbMATH OpenFDO

Authors Benny Hartwig

Publication date 28 November 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2021-0108

zbMATH Keywords

common time-varying volatilityforecastingmultivariate \(t\) errorsoutlier-robust prior calibration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Alternatives to the Median Absolute Deviation
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• DSGE models with Student-t errors
• Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
• Marginal Likelihood from the Gibbs Output
• Nowcasting in a pandemic using non-parametric mixed frequency VARs
• Priors for the long run
• Regression Quantiles

Cited in

(1)

• Has the COVID-19 outbreak capsized the predictive performance of Bayesian VAR models with cointegration and time-varying volatility?

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