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econ.EM2022
Probabilistic Quantile Factor Analysis
Dimitris Korobilis, Maximilian Schröder
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish throu…
econ.EM2022★ 12 cited
A new algorithm for structural restrictions in Bayesian vector autoregressions
Dimitris Korobilis
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed. The reduced-form VAR disturbances are driven b…