Computationally efficient inference in large Bayesian mixed frequency VARs

DOI10.1016/j.econlet.2020.109120zbMath1442.91117OpenAlexW3012964614MaRDI QIDQ777662

Aubrey Poon, Deborah Gefang, Gary Koop

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/71886/

zbMATH Keywords

stochastic volatilityforecastingmixed frequencyvariational inferencevector autoregressionhierarchical prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15)

Related Items (3)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models ⋮ The Bayesian nested Lasso for mixed frequency regression models

Cites Work

• Macroeconomics and the reality of mixed frequency data
• Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors
• Large time-varying parameter VARs
• Dirichlet–Laplace Priors for Optimal Shrinkage

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