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Minnesota-type adaptive hierarchical priors for large Bayesian VARs

Chan, Joshua - 2019

Persistent link: https://www.econbiz.de/10012224435

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390

Persistent link: https://www.econbiz.de/10011691646

Composite likelihood methods for large Bayesian VARs with stochastic volatility

Chan, Joshua; Eisenstat, Eric; Hou, Chenghan; Koop, Gary - 2018

Persistent link: https://www.econbiz.de/10012202274

Addressing COVID-19 Outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021

Persistent link: https://www.econbiz.de/10012489794

Forecasts with Bayesian vector autoregressions under real time conditions

Pfarrhofer, Michael - In: Journal of forecasting 43 (2024) 3, pp. 771-801

Persistent link: https://www.econbiz.de/10014532388

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014252440