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A mixed-frequency Bayesian vector autoregression with a steady-state prior

Ankargren, Sebastian; Unosson, Måns; Yang, Yukai - 2018

Persistent link: https://www.econbiz.de/10011946422

Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition

Yang, Yukai - 2014

Persistent link: https://www.econbiz.de/10010385162

Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Teräsvirta, Timo; Yang, Yukai - 2014

Persistent link: https://www.econbiz.de/10010484181

Linearity and misspecification tests for vector smooth transition regression models

Teräsvirta, Timo; Yang, Yukai - 2014

Persistent link: https://www.econbiz.de/10010484182

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700