Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
From MaRDI portal
Publication:2155313
DOI10.1016/j.jeconom.2020.12.011OpenAlexW3153845029MaRDI QIDQ2155313
Publication date: 15 July 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.12.011
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Identification and estimation of non-Gaussian structural vector autoregressions
- Statistical inference for independent component analysis: application to structural VAR models
- A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
- Multivariate skewness and kurtosis measures with an application in ICA
- Robust Bayes and empirical Bayes analysis with \(\epsilon\)-contaminated priors
- A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
- An overview of robust Bayesian analysis. (With discussion)
- An MCMC approach to classical estimation.
- Bayesian nonparametric vector autoregressive models
- Asymptotic efficiency in estimation with conditional moment restrictions
- A quasi-Bayesian local likelihood approach to time varying parameter VAR models
- Inference on stochastic time-varying coefficient models
- Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix
- Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
- Bayesian Estimation and Comparison of Moment Condition Models
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Forecasting and conditional projection using realistic prior distributions
- Structural Vector Autoregressive Analysis
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Fundamentals of Nonparametric Bayesian Inference
- Note on the Consistency of the Maximum Likelihood Estimate
- Maximum Likelihood Estimation of Misspecified Models
This page was built for publication: Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
