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of 593
pro vyhledávání: '"KOOP GARY"'
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network str
Externí odkaz:
http://arxiv.org/abs/2407.16349
The macroeconomy is a sophisticated dynamic system involving significant uncertainties that complicate modelling. In response, decision makers consider multiple models that provide different predictions and policy recommendations which are then synth
Externí odkaz:
http://arxiv.org/abs/2406.03321
Bayesian predictive synthesis (BPS) provides a method for combining multiple predictive distributions based on agent/expert opinion analysis theory and encompasses a range of existing density forecast pooling methods. The key ingredient in BPS is a `
Externí odkaz:
http://arxiv.org/abs/2311.12671
Autor:
Huber, Florian, Koop, Gary
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper which uses a Dirichlet process m
Externí odkaz:
http://arxiv.org/abs/2305.16827
Autor:
Martin, Gael M., Frazier, David T., Maneesoonthorn, Worapree, Loaiza-Maya, Ruben, Huber, Florian, Koop, Gary, Maheu, John, Nibbering, Didier, Panagiotelis, Anastasios
The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting. Uncertainty about all unknowns that characterize any forecasting problem -- model, parameters, latent states -- is able to be quantified expli
Externí odkaz:
http://arxiv.org/abs/2212.03471
In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART) that mode
Externí odkaz:
http://arxiv.org/abs/2209.11970