2 papers
econ.EM2025
Large Bayesian VARs for Binary and Censored Variables
Joshua C. C. Chan, Michael Pfarrhofer
We extend the standard VAR to jointly model the dynamics of binary, censored and continuous variables, and develop an efficient estimation approach that scales well to high-dimensi…
econ.EM2025
Large Structural VARs with Multiple Sign and Ranking Restrictions
Joshua Chan, Christian Matthes, Xuewen Yu
Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identifica…