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Locally time-varying parameter regression

He, Zhongfang - In: Econometric reviews 43 (2024) 5, pp. 269-300

Persistent link: https://www.econbiz.de/10014551522

Observed-data DIC for spatial panel data models

Yang, Ye; Doğan, Osman; Taṣpınar, Süleyman - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1281-1314

Persistent link: https://www.econbiz.de/10014226354

Regression analysis using asymmetric losses : a Bayesian approach

Tsiotas, Georgios - In: Journal of quantitative economics 20 (2022) 2, pp. 311-327

Persistent link: https://www.econbiz.de/10013441649

Constrained estimation using penalization and MCMC

Gallant, A. Ronald; Hong, Han; Leung, Michael P.; Li, Jessie - In: Journal of econometrics 228 (2022) 1, pp. 85-106

Persistent link: https://www.econbiz.de/10013441728

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...