Fast, Order-Invariant Bayesian Inference in VARs Using the Eigendecomposition of the Error Covariance Matrix
基于误差协方差特征分解的快速、顺序不变 VAR 贝叶斯推断
Bayesian inference in Vector Autoregressions (VARs) involves manipulating large matrices which appear in the posterior (or conditional posterior) of the VAR coefficients. For large VARs, the computational burden of these manipulations can render empirical work impractical. In response to this, many researchers transform their VARs so as to allow for Bayesian estimation to proceed one equation at a time. This leads to a massive reduction in the computational burden. This…