117 citations · 191 across the 25 of their papers we have counts for
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stat.ME2017
Dynamic Mixed Frequency Synthesis for Economic Nowcasting
Kenichiro McAlinn
We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian the…
stat.ME2017★ 62 cited
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Kenichiro McAlinn, Knut Are Aastveit, Jouchi Nakajima +1
We develop the methodology and a detailed case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the rece…
stat.ME2017
Dynamic Variable Selection with Spike-and-Slab Process Priors
Veronika Rockova, Kenichiro McAlinn
We address the problem of dynamic variable selection in time series regression with unknown residual variances, where the set of active predictors is allowed to evolve over time. T…