7 citations · 7 across the 1 of their papers we have counts for
3 papers
econ.EM2020
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
Florian Huber, Gary Koop, Luca Onorante +2
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree model…
econ.EM2020★ 7 cited
Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
Florian Huber, Gary Koop, Michael Pfarrhofer
Researchers increasingly wish to estimate time-varying parameter (TVP) regressions which involve a large number of explanatory variables. Including prior information to mitigate ov…
econ.EM2019
Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Florian Huber, Gary Koop, Luca Onorante
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasing…