Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix
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Cited by:
- Roberto Leon-Gonzalez & Blessings Majoni, 2023.
"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
GRIPS Discussion Papers
23-07, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez & Blessings Majon, 2024. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 24-03, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
- Wu, Ping & Koop, Gary, 2023. "Estimating the ordering of variables in a VAR using a Plackett–Luce prior," Economics Letters, Elsevier, vol. 230(C).
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More about this item
Keywords
Eigendecomposition; order invariance; large vector autoregression;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-08-28 (Econometrics)
- NEP-ETS-2023-08-28 (Econometric Time Series)
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