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05/26/2023
Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks
The shocks which hit macroeconomic models such as Vector Autoregressions...
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12/07/2022
Bayesian Forecasting in the 21st Century: A Modern Review
The Bayesian statistical paradigm provides a principled and coherent app...
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11/14/2021
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Many popular specifications for Vector Autoregressions (VARs) with multi...
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10/07/2021
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
We develop a Bayesian non-parametric quantile panel regression model. Wi...
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07/16/2021
Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
Macroeconomists using large datasets often face the choice of working wi...
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03/08/2021
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
The Panel Vector Autoregressive (PVAR) model is a popular tool for macro...
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08/28/2020
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
This paper develops Bayesian econometric methods for posterior and predi...
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05/08/2020
Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
Time-varying parameter (TVP) regression models can involve a huge number...
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10/23/2019
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
In this paper, we write the time-varying parameter regression model invo...
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09/09/2018