27 citations · 28 across the 9 of their papers we have counts for
10 papers
Bayesian inference, on-line forecasting and model choice for large VAR models with Cholesky stochastic volatility
Nicolas Chopin, Andras Fulop, Yuedan Huo +1
We consider -dimensional Bayesian vector autoregressions (BVARs) with Cholesky stochastic volatility (SV), in which the innovation covariance matrix is a lower-triangular linear…
Testing for Endogeneity: A Moment-Based Bayesian Approach
Siddhartha Chib, Minchul Shin, Anna Simoni
A standard assumption in the Bayesian estimation of linear regression models is that the regressors are exogenous in the sense that they are uncorrelated with the model error term.…
Bayesian Estimation and Comparison of Conditional Moment Models
Siddhartha Chib, Minchul Shin, Anna Simoni
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponen…
Revisiting identification concepts in Bayesian analysis
Jean-Pierre Florens, Anna Simoni
This paper studies the role played by identification in the Bayesian analysis of statistical and econometric models. First, for unidentified models we demonstrate that there are si…
When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage
Laurent Ferrara, Anna Simoni
Alternative data sets are widely used for macroeconomic nowcasting together with machine learning--based tools. The latter are often applied without a complete picture of their the…
Ill-posed Estimation in High-Dimensional Models with Instrumental Variables
Christoph Breunig, Enno Mammen, Anna Simoni
This paper is concerned with inference about low-dimensional components of a high-dimensional parameter vector which is identified through instrumental variables. We allow fo…