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.EM2023
Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification
Florian Huber, Massimiliano Marcellino, Tobias Scheckel
Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or respon…