Related papers: Nowcasting in a Pandemic using Non-Parametric Mixe…

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional…

Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in…

The COVID-19 pandemic has highlighted delayed reporting as a significant impediment to effective disease surveillance and decision-making. In the absence of timely data, statistical models which account for delays can be adopted to nowcast…

We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian theory and treats data sampled at different frequencies as…

High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…

While COVID-19 has resulted in a significant increase in global mortality rates, the impact of the pandemic on mortality from other causes remains uncertain. To gain insight into the broader effects of COVID-19 on various causes of death,…

Modeling nonstationary processes is of paramount importance to many scientific disciplines including environmental science, ecology, and finance, among others. Consequently, flexible methodology that provides accurate estimation across a…

Vector autoregression (VAR) models are widely used for forecasting and macroeconomic analysis, yet they remain limited by their reliance on a linear parameterization. Recent research has introduced nonparametric alternatives, such as…

We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…

Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both…

Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…

We tackle limitations of ordinary differential equation-driven Susceptible-Infections-Removed (SIR) models and their extensions that have recently be employed for epidemic nowcasting and forecasting. In particular, we deal with challenges…

In recent years, theoretical results and simulation evidence have shown Bayesian additive regression trees to be a highly-effective method for nonparametric regression. Motivated by cost-effectiveness analyses in health economics, where…

Macroeconomic data are crucial for monitoring countries' performance and driving policy. However, traditional data acquisition processes are slow, subject to delays, and performed at a low frequency. We address this 'ragged-edge' problem…

This paper deals with the problem of estimating variables in nonlinear models for the spread of disease and its application to the COVID-19 epidemic. First unconstrained methods are revisited and they are shown to correspond to the…

This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous…

We propose a general Bayesian approach to modeling epidemics such as COVID-19. The approach grew out of specific analyses conducted during the pandemic, in particular an analysis concerning the effects of non-pharmaceutical interventions…

We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive…

The COVID-19 pandemic response relied heavily on statistical and machine learning models to predict key outcomes such as case prevalence and fatality rates. These predictions were instrumental in enabling timely public health interventions…

Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make…