Martin Feldkircher, Florian Huber, Gary Koop, Michael Pfarrhofer
arXiv 8 Mar 2021 · Econometrics
arXiv:2103.04944 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Van den Boom et al (2021) Approximating posteriors with high-dimensional nuisance parameters via integrated rotated Gaussian approximation | 1.000 | 7 | 3 | 100% |
| 2 | Makalic and Schmidt (2016) A simple sampler for the horseshoe estimator | 0.843 | 3 | 3 | 100% |
| 3 | Canova and Ciccarelli (2009) Estimating multicountry VAR models | 0.737 | 3 | 2 | 100% |
| 4 | Feldkircher and Huber (2016) The international transmission of US shocks – Evidence from Bayesian global vector autoregressions | 0.644 | 2 | 2 | 100% |
| 5 | Bhattacharya et al (2015) Dirichlet–Laplace priors for optimal shrinkage | 0.644 | 2 | 2 | 100% |
| 6 | Canova and Ciccarelli (2016) Panel Vector Autoregressive models: A survey | 0.644 | 2 | 2 | 100% |
| 7 | Diebold and Yilmaz (2009) Measuring financial asset return and volatility spillovers, with application to global equity markets | 0.644 | 2 | 2 | 100% |
| 8 | Carvalho et al (2010) The horseshoe estimator for sparse signals | 0.644 | 2 | 2 | 100% |
| 9 | Korobilis (2021) High-dimensional macroeconomic forecasting using message passing algorithms | 0.644 | 2 | 2 | 100% |
| 10 | Park and Casella (2008) The Bayesian Lasso | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model | 0.405 | 1 | 1 |
| 2 | Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study | 0.405 | 1 | 1 |