Amilcar Velez

activity

20212023

most citedOn the Robustness to Misspecification of

α

-Posteriors and Their Variational Approximations

3 citations · 3 across the 3 of their papers we have counts for

collaborators

3 papers

econ.EM2023

The Local Projection Residual Bootstrap for AR(1) Models

Amilcar Velez

This paper proposes a local projection residual bootstrap method to construct confidence intervals for impulse response coefficients of AR(1) models. Our bootstrap method is based…

math.ST2022

The out-of-sample prediction error of the square-root-LASSO and related estimators

José Luis Montiel Olea, Cynthia Rush, Amilcar Velez +1

We study the classical problem of predicting an outcome variable, $Y$ , using a linear combination of a $d$ -dimensional covariate vector, $X$ . We are interested in linear p…

stat.ML2021★ 3 cited

On the Robustness to Misspecification of $α$ -Posteriors and Their Variational Approximations

Marco Avella Medina, José Luis Montiel Olea, Cynthia Rush +1

$α$ -posteriors and their variational approximations distort standard posterior inference by downweighting the likelihood and introducing variational approximation errors. We show t…

The Local Projection Residual Bootstrap for AR(1) Models

The out-of-sample prediction error of the square-root-LASSO and related estimators

On the Robustness to Misspecification of α-Posteriors and Their Variational Approximations

On the Robustness to Misspecification of $α$ -Posteriors and Their Variational Approximations