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econ.EM2026
Forecasting with Bayesian Panel Vector Autoregressions Using the R Package bpvars
Miguel Sanchez-Martinez, Tomasz Woźniak
The R package bpvars was designed to forecast employment, unemployment, and labour market participation rates of 189 countries. However, it is generally applicable to dynamic panel…
econ.EM2026
Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity
Fei Shang, Tomasz Woźniak
We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedas…