Related papers: A large non-Gaussian structural VAR with applicati…
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for…
Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to structural shocks, even more so if higher-order…
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…
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…
The nature of available economic data has changed fundamentally in the last decade due to the economy's digitisation. With the prevalence of often black box data-driven machine learning methods, there is a necessity to develop interpretable…
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,…
While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating…
Structural break identification methods are an important tool for evaluating the effectiveness of climate change mitigation policies. In this paper, we introduce a unified probabilistic framework for detecting structural breaks with unknown…
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure. With our new methodology, the original…
This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not…
We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this model, the conditional variance of each…
Structural change detection problems are often encountered in analytics and econometrics, where the performance of a model can be significantly affected by unforeseen changes in the underlying relationships. Although these problems have a…
Inferring causal relationships from observed data is an important task, yet it becomes challenging when the data is subject to various external interferences. Most of these interferences are the additional effects of external factors on…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
While seasonality inherent to raw macroeconomic data is commonly removed by seasonal adjustment techniques before it is used for structural inference, this may distort valuable information in the data. As an alternative method to commonly…
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dynamics of the VAR parameters. Contrary to existing approaches…
The estimation of linear causal models (also known as structural equation models) from data is a well-known problem which has received much attention in the past. Most previous work has, however, made an explicit or implicit assumption of…
In a variety of disciplines such as social sciences, psychology, medicine and economics, the recorded data are considered to be noisy measurements of latent variables connected by some causal structure. This corresponds to a family of…
In a variety of disciplines such as social sciences, psychology, medicine and economics, the recorded data are considered to be noisy measurements of latent variables connected by some causal structure. This corresponds to a family of…