Hierarchical Prior

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage (ESCoE DP 2019-07)

By: Deborah Gefang, Gary Koop, Aubrey Poon

21 March 2019

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage (ESCoE DP 2019-07)

Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs (ESCoE DP 2020-07)

By: Deborah Gefang, Gary Koop, Aubrey Poon

20 May 2020

Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs (ESCoE DP 2020-07)