Reducing the state space dimension in a large TVP-VAR

DOI10.1016/j.jeconom.2019.11.006zbMath1456.62184OpenAlexW2995027080MaRDI QIDQ2190242

Joshua C. C. Chan, Eric Eisenstat, Rodney W. Strachan

Publication date: 18 June 2020

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.11.006

zbMATH Keywords

time varying parameterlarge VARreduced rank covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (7)

Asymmetric conjugate priors for large Bayesian VARs ⋮ Precision-based sampling for state space models that have no measurement error ⋮ Comparing stochastic volatility specifications for large Bayesian VARs ⋮ Large Hybrid Time-Varying Parameter VARs ⋮ A new taxonomy for vector exponential smoothing and its application to seasonal time series ⋮ Fast and accurate variational inference for large Bayesian VARs with stochastic volatility ⋮ A new Bayesian model for contagion and interdependence

Uses Software

• bvarsv

Cites Work

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