18 citations · 32 across the 9 of their papers we have counts for
4 papers · 1 filter
Large Structural VARs with Multiple Sign and Ranking Restrictions
Joshua Chan, Christian Matthes, Xuewen Yu
Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identifica…
Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis
Joshua Chan, Eric Eisenstat, Xuewen Yu
Vector autoregressions (VARs) with multivariate stochastic volatility are widely used for structural analysis. Often the structural model identified through economically meaningful…
Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
Joshua C. C. Chan, Xuewen Yu
We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of large Bayesian VARs. In contrast to existing approaches that…
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…