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stat.ME2026
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
We develop a dynamic factor stochastic volatility-in-mean (SVM) specification for vector autoregressions (VARs) that embeds an SVM component within a dynamic factor stochastic vola…
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…