2 papers
econ.EM2024
Bayesian modelling of VAR precision matrices using stochastic block networks
Florian Huber, Gary Koop, Massimiliano Marcellino +1
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done b…
econ.EM2024
Nowcasting with Mixed Frequency Data Using Gaussian Processes
Niko Hauzenberger, Massimiliano Marcellino, Michael Pfarrhofer +1
We develop Bayesian machine learning methods for mixed data sampling (MIDAS) regressions. This involves handling frequency mismatches and specifying functional relationships betwee…