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econ.EM2026
A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility
Fei Shang, Xiaolei Wang, Tomasz Woźniak
We present a suite of R packages for macroeconomic forecasting that leverages advanced Bayesian, structural, multivariate, dynamic, hierarchical, non-linear, and non-Gaussian model…
econ.EM2026
Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity
Fei Shang, Tomasz Woźniak
We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedas…
econ.EM2024
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility
Helmut Lütkepohl, Fei Shang, Luis Uzeda +1
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we s…