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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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Model averaging based on leave-subject-out cross-validation for vector autoregressions
Liao, Jun; Zong, Xianpeng; Zhang, Xinyu; Zou, Guohua - In: Journal of econometrics 209 (2019) 1, pp. 35-60
Persistent link: https://www.econbiz.de/10012302513
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Priors about observables in vector autoregressions
Jarociński, Marek; Marcet, Albert - In: Journal of econometrics 209 (2019) 2, pp. 238-255
Persistent link: https://www.econbiz.de/10012302586
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A quasi-Bayesian local likelihood approach to time varying parameter VAR models
Petrova, Katerina - In: Journal of econometrics 212 (2019) 1, pp. 286-306
Persistent link: https://www.econbiz.de/10012303932
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Robust Bayesian inference in proxy SVARs
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - In: Journal of econometrics 228 (2022) 1, pp. 107-126
Persistent link: https://www.econbiz.de/10013441729
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Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
Petrova, Katerina - In: Journal of econometrics 230 (2022) 1, pp. 154-182
Persistent link: https://www.econbiz.de/10013441926
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We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
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SVARs with occasionally-binding constraints
Aruoba, S. Borağan; Mlikota, Marko; Schorfheide, Frank; … - In: Journal of econometrics 231 (2022) 2, pp. 477-499
Persistent link: https://www.econbiz.de/10013464897
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Bayesian inference in a time varying cointegration model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - In: Journal of econometrics 165 (2011) 2, pp. 210-220
Persistent link: https://www.econbiz.de/10009409679
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Beta-product dependent Pitman–Yor processes for Bayesian inference
Bassetti, Federico; Casarin, Roberto; Leisen, Fabrizio - In: Journal of econometrics 180 (2014) 1, pp. 49-72
Persistent link: https://www.econbiz.de/10010379485