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05/16/2023
Monitoring multicountry macroeconomic risk
We propose a multicountry quantile factor augmeneted vector autoregressi...
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12/20/2022
Probabilistic quantile factor analysis
This paper extends quantile factor analysis to a probabilistic variant t...
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06/14/2022
A new algorithm for structural restrictions in Bayesian vector autoregressions
A comprehensive methodology for inference in vector autoregressions (VAR...
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12/22/2021
Bayesian Approaches to Shrinkage and Sparse Estimation
In all areas of human knowledge, datasets are increasing in both size an...
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04/23/2020
Machine Learning Econometrics: Bayesian algorithms and methods
As the amount of economic and other data generated worldwide increases v...
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04/23/2020
High-dimensional macroeconomic forecasting using message passing algorithms
This paper proposes two distinct contributions to econometric analysis o...
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09/09/2018