18 citations · 26 across the 10 of their papers we have counts for
4 papers · 1 filter
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Joshua C. C. Chan, Gary Koop, Xuewen Yu
Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cho…
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
Todd E. Clark, Florian Huber, Gary Koop +2
We develop a Bayesian non-parametric quantile panel regression model. Within each quantile, the response function is a convex combination of a linear model and a non-linear functio…
Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
Florian Huber, Gary Koop
Macroeconomists using large datasets often face the choice of working with either a large Vector Autoregression (VAR) or a factor model. In this paper, we develop methods for combi…
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
Martin Feldkircher, Florian Huber, Gary Koop +1
Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets. However, the number of estimated parameters can be enormous, leading to computational…