Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

DOI10.1016/j.jeconom.2021.11.010OpenAlexW4200088725MaRDI QIDQ2116351

Andrea Carriero, Massimiliano Marcellino, Joshua Chan, Todd E. Clark

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.11.010

zbMATH Keywords

forecastingbig datastructural VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

Inference in Bayesian additive vector autoregressive tree models ⋮ bayesianVARs ⋮ TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES ⋮ Asymmetric conjugate priors for large Bayesian VARs ⋮ Comparing stochastic volatility specifications for large Bayesian VARs ⋮ High-dimensional conditionally Gaussian state space models with missing data ⋮ Large Hybrid Time-Varying Parameter VARs

Cites Work

• Comment on ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors