We develop importance sampling methods for computing two popular Bayesian model
comparison criteria, namely, the marginal likelihood and the deviance information criterion …

Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian
framework, with the aim to automatically reduce time-varying parameters to static ones, if the …

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the
effect of explanatory variables on the outcome variable. However, in particular when the …

Macroeconomists are increasingly working with large Vector Autoregressions (VARs) where
the number of parameters vastly exceeds the number of observations. Existing approaches …

This article provides guidance on how to evaluate and improve the forecasting ability of
models in the presence of instabilities, which are widespread in economic time series …

This paper proposes a new approach to estimating high dimensional time varying parameter
structural vector autoregressive models (TVP-SVARs) by taking advantage of an empirical …

Large Bayesian VARs are now widely used in empirical macroeconomics. One popular
shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior …

State–space models are commonly used in the engineering, economic, and statistical
literature. They are flexible and encompass many well-known statistical models, including …

The deviance information criterion (DIC) has been widely used for Bayesian model
comparison. However, recent studies have cautioned against the use of certain variants of …

We propose a new variational approximation of the joint posterior distribution of the log-
volatility in the context of large Bayesian VARs. In contrast to existing approaches that are …