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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…
econ.EM2026
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.…