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Fast computation of the deviance information criterion for latent variable models

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Cited by:

  1. Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
  2. Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
  4. Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
  5. Adam, Marc C. & Jansson, Walter, 2019. "Credit constraints and the propagation of the Great Depression in Germany," Discussion Papers 2019/12, Free University Berlin, School of Business & Economics.
  6. Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
  7. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
  8. Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020. "Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model," OECD Statistics Working Papers 2020/01, OECD Publishing.
  9. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
  10. Bresson Georges & Chaturvedi Anoop & Rahman Mohammad Arshad & Shalabh, 2021. "Seemingly unrelated regression with measurement error: estimation via Markov Chain Monte Carlo and mean field variational Bayes approximation," The International Journal of Biostatistics, De Gruyter, vol. 17(1), pages 75-97, May.
  11. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
  12. Junior A. Ojeda Cunya & Gabriel Rodríguez, 2022. "Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models," Documentos de Trabajo / Working Papers 2022-507, Departamento de Economía - Pontificia Universidad Católica del Perú.
  13. Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, vol. 79(C), pages 111-129.
  14. Chan, Joshua C.C. & Grant, Angelia L., 2015. "Pitfalls of estimating the marginal likelihood using the modified harmonic mean," Economics Letters, Elsevier, vol. 131(C), pages 29-33.
  15. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  16. Firmin Doko Tchatoka & Qazi Haque & Madison Terrell, 2022. "Monetary policy shocks and exchange rate dynamics in small open economies," CAMA Working Papers 2022-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
  18. Li, Yong & Yu, Jun & Zeng, Tao, 2020. "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, vol. 216(2), pages 450-493.
  19. Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
  20. Fang Liu & Xiaojing Wang & Roeland Hancock & Ming-Hui Chen, 2022. "Bayesian Model Assessment for Jointly Modeling Multidimensional Response Data with Application to Computerized Testing," Psychometrika, Springer;The Psychometric Society, vol. 87(4), pages 1290-1317, December.
  21. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
  22. Ye Yang & Osman Doğan & Süleyman Taşpınar, 2023. "Observed-data DIC for spatial panel data models," Empirical Economics, Springer, vol. 64(3), pages 1281-1314, March.
  23. Oludare Ariyo & Emmanuel Lesaffre & Geert Verbeke & Martijn Huisman & Martijn Heymans & Jos Twisk, 2022. "Bayesian model selection for multilevel mediation models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 219-235, May.
  24. Li, Yong & Yu, Jun & Zeng, Tao, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.
  25. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.
  26. Melolinna, Marko & Tóth, Máté, 2019. "Trend and cycle shocks in Bayesian unobserved components models for UK productivity," Bank of England working papers 826, Bank of England.
  27. Joshua C. C. Chan & Angelia L. Grant, 2016. "On the Observed-Data Deviance Information Criterion for Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 772-802.
  28. Hauber, Philipp & Schumacher, Christian, 2021. "Precision-based sampling with missing observations: A factor model application," Discussion Papers 11/2021, Deutsche Bundesbank.
  29. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-06, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  30. Rodríguez, Gabriel & Vassallo, Renato & Castillo B., Paul, 2023. "Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries," Economic Modelling, Elsevier, vol. 124(C).
  31. Oludare Ariyo & Emmanuel Lesaffre & Geert Verbeke & Adrian Quintero, 2022. "Bayesian Model Selection for Longitudinal Count Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 516-547, November.
  32. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2018. "Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 193-201.
  33. Ramis Khabibullin, 2019. "What measures of real economic activity slack are helpful for forecasting Russian inflation?," Bank of Russia Working Paper Series wps50, Bank of Russia.
  34. Arnab Kumar Maity & Sanjib Basu & Santu Ghosh, 2021. "Bayesian criterion‐based variable selection," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 835-857, August.
  35. Gabriel Rodríguez & Renato Vassallo, 2022. "Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-508, Departamento de Economía - Pontificia Universidad Católica del Perú.
  36. Mauricio Alvarado & Gabriel Rodríguez, 2024. "Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru," Documentos de Trabajo / Working Papers 2024-531, Departamento de Economía - Pontificia Universidad Católica del Perú.
  37. Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
  38. Alexander Meléndez Holguín & Gabriel Rodríguez, 2023. "Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models," Documentos de Trabajo / Working Papers 2023-516, Departamento de Economía - Pontificia Universidad Católica del Perú.
  39. Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022. "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-510, Departamento de Economía - Pontificia Universidad Católica del Perú.
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