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econ.EM2026
Soft-Noncrossing Bayesian Panel Quantile Regression for Measuring Climate Tail Risk
Florian Huber, Aubrey Poon, Dan Zhu
We develop a hierarchical Bayesian panel quantile regression model in which unit-specific coefficient paths are smoothed across quantiles by Gaussian processes, while a common time…
econ.EM2024
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
Joshua C. C. Chan, Davide Pettenuzzo, Aubrey Poon +1
Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number o…