论文检索

粗化贝叶斯 VAR：修正 BVAR 的模型误设AI 解读

Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to structural shocks, even more so if higher-order forecasts or responses are considered, due to parameter Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to…

利用随机分块网络对 VAR 精度矩阵进行贝叶斯建模AI 解读

Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior on the lower Cholesky factor of the precision matrix. In this paper, we propose a prior on the VAR error precision matrix directly. Our prior, which resembles a standard spike and…