27 citations · 28 across the 9 of their papers we have counts for
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stat.ME2026
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…
stat.ME2016
Bayesian Estimation and Comparison of Moment Condition Models
Siddhartha Chib, Minchul Shin, Anna Simoni
In this paper we consider the problem of inference in statistical models characterized by moment restrictions by casting the problem within the Exponentially Tilted Empirical Likel…
stat.ME2012
Semi-parametric Bayesian Partially Identified Models based on Support Function
Yuan Liao, Anna Simoni
We provide a comprehensive semi-parametric study of Bayesian partially identified econometric models. While the existing literature on Bayesian partial identification has mostly fo…