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02/07/2023
High-Dimensional Conditionally Gaussian State Space Models with Missing Data
We develop an efficient sampling approach for handling complex missing d...
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08/28/2022
Comparing Stochastic Volatility Specifications for Large Bayesian VARs
Large Bayesian vector autoregressions with various forms of stochastic v...
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01/18/2022
Large Hybrid Time-Varying Parameter VARs
Time-varying parameter VARs with stochastic volatility are routinely use...
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12/21/2021
Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
State-space mixed-frequency vector autoregressions are now widely used f...
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11/14/2021
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Many popular specifications for Vector Autoregressions (VARs) with multi...
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11/13/2021
Asymmetric Conjugate Priors for Large Bayesian VARs
Large Bayesian VARs are now widely used in empirical macroeconomics. One...
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10/23/2021