Related papers: BVARs and Stochastic Volatility

High-dimensional vector autoregressive (VAR) models offer a versatile framework for multivariate time series analysis, yet face critical challenges from over-parameterization and uncertain lag order. In this paper, we systematically compare…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by…

What should applied macroeconomists know about local projection (LP) and vector autoregression (VAR) impulse response estimators? The two methods share the same estimand, but in finite samples lie on opposite ends of a bias-variance…

Both Bayesian and varying coefficient models are very useful tools in practice as they can be used to model parameter heterogeneity in a generalizable way. Motivated by the need of enhancing Marketing Mix Modeling at Uber, we propose a…

Variational Bayes (VB) is rapidly becoming a popular tool for Bayesian inference in statistical modeling. However, the existing VB algorithms are restricted to cases where the likelihood is tractable, which precludes the use of VB in many…

We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…

As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for inference in empirical models with large information sets. This…

We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…

Over the last decade, big data have poured into econometrics, demanding new statistical methods for analysing high-dimensional data and complex non-linear relationships. A common approach for addressing dimensionality issues relies on the…

Recurrent neural networks (RNNs) are nonlinear dynamical models commonly used in the machine learning and dynamical systems literature to represent complex dynamical or sequential relationships between variables. More recently, as deep…

Machine learning methods for computational imaging require uncertainty estimation to be reliable in real settings. While Bayesian models offer a computationally tractable way of recovering uncertainty, they need large data volumes to be…

The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…

The linear varying coefficient models posits a linear relationship between an outcome and covariates in which the covariate effects are modeled as functions of additional effect modifiers. Despite a long history of study and use in…

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…

In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…

There has been an intense development on the estimation of a sparse regression coefficient vector in statistics, machine learning and related fields. In this paper, we focus on the Bayesian approach to this problem, where sparsity is…

We implement gradient-based variational inference routines for Wishart and inverse Wishart processes, which we apply as Bayesian models for the dynamic, heteroskedastic covariance matrix of a multivariate time series. The Wishart and…

In the data-rich environment, using many economic predictors to forecast a few key variables has become a new trend in econometrics. The commonly used approach is factor augment (FA) approach. In this paper, we pursue another direction,…