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Found 6 papers, 1 papers with code
Monitoring multicountry macroeconomic risk
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series.
Agreed and Disagreed Uncertainty
When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion.
Probabilistic quantile factor analysis
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations.
A new algorithm for structural restrictions in Bayesian vector autoregressions
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed.
Bayesian Approaches to Shrinkage and Sparse Estimation
The purpose of this paper is to introduce the reader to the world of Bayesian model determination, by surveying modern shrinkage and variable selection algorithms and methodologies.
High-dimensional macroeconomic forecasting using message passing algorithms
This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities.
