activity
20142026
most citedHigh-dimensional macroeconomic forecasting using message passing algorithms

28 citations · 43 across the 10 of their papers we have counts for

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2 papers · 1 filter

econ.EM2025

Learning from crises: A new class of time-varying parameter VARs with observable adaptation

Nicolas Hardy, Dimitris Korobilis

We revisit macroeconomic time-varying parameter vector autoregressions (TVP-VARs), whose persistent coefficients may adapt too slowly to large, abrupt shifts such as those during m…

econ.EM2025

Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs

Dimitris Korobilis

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structura…