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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…
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.…