Sparse Bayesian vector autoregressions in huge dimensions
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References listed on IDEAS
- Aguilar, Omar & West, Mike, 2000. "Bayesian Dynamic Factor Models and Portfolio Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 338-357, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kastner, Gregor, 2019.
"Sparse Bayesian time-varying covariance estimation in many dimensions,"
Journal of Econometrics,
Elsevier, vol. 210(1), pages 98-115.
- Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian Vector Autoregressions,"
The Warwick Economics Research Paper Series (TWERPS)
1159, University of Warwick, Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Florian Huber & Michael Pfarrhofer, 2018. "Dealing with cross-country heterogeneity in panel VARs using finite mixture models," Papers 1804.01554, arXiv.org, revised Mar 2019.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-11-26 (All new papers)
- NEP-ECM-2017-11-26 (Econometrics)
- NEP-ETS-2017-11-26 (Econometric Time Series)
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