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- W4287280717 abstract "Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets. However, the number of estimated parameters can be enormous, leading to computational and statistical issues. In this paper, we develop fast Bayesian methods for estimating PVARs using integrated rotated Gaussian approximations. We exploit the fact that domestic information is often more important than international information and group the coefficients accordingly. Fast approximations are used to estimate the latter while the former are estimated with precision using Markov chain Monte Carlo techniques. We illustrate, using a huge model of the world economy, that it produces competitive forecasts quickly." @default.
- W4287280717 created "2022-07-25" @default.
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- W4287280717 date "2021-03-08" @default.
- W4287280717 modified "2023-09-30" @default.
- W4287280717 title "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs" @default.
- W4287280717 doi "https://doi.org/10.48550/arxiv.2103.04944" @default.
- W4287280717 hasPublicationYear "2021" @default.
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