Related papers: Bayesian Modeling of TVP-VARs Using Regression Tre…
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…
Most implementations of Bayesian additive regression trees (BART) one-hot encode categorical predictors, replacing each one with several binary indicators, one for every level or category. Regression trees built with these indicators…
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…
This article introduces a nonparametric approach to multivariate time-varying power spectrum analysis. The procedure adaptively partitions a time series into an unknown number of approximately stationary segments, where some spectral…
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
Methods for estimating heterogeneous treatment effect in observational data have largely focused on continuous or binary outcomes, and have been relatively less vetted with survival outcomes. Using flexible machine learning methods in the…
This paper develops a novel stochastic tree ensemble method for nonlinear regression, which we refer to as XBART, short for Accelerated Bayesian Additive Regression Trees. By combining regularization and stochastic search strategies from…
We propose a recurrent neural network for a "model-free" simulation of a dynamical system with unknown parameters without prior knowledge. The deep learning model aims to jointly learn the nonlinear time marching operator and the effects of…
This article introduces a flexible and adaptive nonparametric method for estimating the association between multiple covariates and power spectra of multiple time series. The proposed approach uses a Bayesian sum of trees model to capture…
This paper introduces BART-RDD, a sum-of-trees regression model built around a novel regression tree prior, which incorporates the special covariate structure of regression discontinuity designs. Specifically, the tree splitting process is…
We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…
A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…
Many asymptotically minimax procedures for function estimation often rely on somewhat arbitrary and restrictive assumptions such as isotropy or spatial homogeneity. This work enhances the theoretical understanding of Bayesian additive…
The main goal of this paper is to develop a methodology for estimating time varying parameter vector auto-regression (TVP-VAR) models with a timeinvariant long-run relationship between endogenous variables and changes in exogenous…
The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…
High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR…
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. {We show that the score-driven framework is…