18 citations · 26 across the 10 of their papers we have counts for
3 papers · 1 filter
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…
Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
Niko Hauzenberger, Florian Huber, Gary Koop
Time-varying parameter (TVP) regression models can involve a huge number of coefficients. Careful prior elicitation is required to yield sensible posterior and predictive inference…
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…