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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 1
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Original Articles

Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

Joshua C. C. ChanEconomics Discipline Group, University of TechnologySydney, NSW, Australia ([email protected])ORCID Iconhttps://orcid.org/0000-0003-3632-128X
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Pages 68-79 | Received 01 Feb 2016, Published online: 18 Jun 2018

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Michael Ellington, Marcin Michalski & Costas Milas. (2023) Of votes and viruses: the UK economy and economic policy uncertainty. The European Journal of Finance 29:16, pages 1849-1865.
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Joshua C. C. Chan, Gary Koop & Xuewen Yu. (2023) Large Order-Invariant Bayesian VARs with Stochastic Volatility . Journal of Business & Economic Statistics 0:0, pages 1-38.
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Joshua C. C. Chan. (2023) Large Hybrid Time-Varying Parameter VARs. Journal of Business & Economic Statistics 41:3, pages 890-905.
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Aubrey Poon & Dan Zhu. (2022) A new Bayesian model for contagion and interdependence. Econometric Reviews 41:7, pages 806-826.
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Petros Golitsis, Sotirios K. Bellos, Athanasios P. Fassas & Sercan Demiralay. (2021) The Spillover Effect of Euribor on Southeastern European Economies: A Global VAR Approach. Journal of East-West Business 27:1, pages 57-91.
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Yuheng Ling & Julie Le Gallo. (2023) Bayesian spatial panel models: a flexible Kronecker error component approach. Letters in Spatial and Resource Sciences 16:1.
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Agostino Consolo, Claudia Foroni & Catalina Martínez Hernández. (2023) A Mixed Frequency BVAR for the Euro Area Labour Market*. Oxford Bulletin of Economics and Statistics 85:5, pages 1048-1082.
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Le Thanh Ha. (2023) Fat tails, serial dependence, and interlinkages of the geopolitical risk and food market during the COVID-19 pandemic and war crisis: an application of Bayesian vector heterogeneous autoregressions. Environmental Science and Pollution Research.
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Joshua C.C. Chan, Aubrey Poon & Dan Zhu. (2023) High-dimensional conditionally Gaussian state space models with missing data. Journal of Econometrics 236:1, pages 105468.
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Joshua C.C. Chan. (2023) Comparing stochastic volatility specifications for large Bayesian VARs. Journal of Econometrics 235:2, pages 1419-1446.
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Jonas E. Arias, Juan F. Rubio-Ramírez & Minchul Shin. (2023) Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Journal of Econometrics 235:2, pages 1054-1086.
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Anna Pajor, Justyna Wróblewska, Łukasz Kwiatkowski & Jacek Osiewalski. (2023) Hybrid SV‐GARCH, t ‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective? . International Statistical Review.
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Angelica Gianfreda, Francesco Ravazzolo & Luca Rossini. (2022) Large Time‐Varying Volatility Models for Hourly Electricity Prices*. Oxford Bulletin of Economics and Statistics 85:3, pages 545-573.
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Florian Huber & Gary Koop. (2023) Subspace shrinkage in conjugate Bayesian vector autoregressions. Journal of Applied Econometrics 38:4, pages 556-576.
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Le Thanh Ha. (2023) An application of Bayesian vector heterogeneous autoregressions to study network interlinkages of the crude oil and gold, stock, and cryptocurrency markets during the COVID-19 outbreak. Environmental Science and Pollution Research 30:26, pages 68609-68624.
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Tamás Kiss, Hoang Nguyen & Pär Österholm. (2022) Modelling Okun’s law: Does non-Gaussianity matter?. Empirical Economics 64:5, pages 2183-2213.
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Chenghan Hou, Bao Nguyen & Bo Zhang. (2022) Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs. Journal of Forecasting 42:2, pages 418-451.
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Tamás Kiss, Stepan Mazur, Hoang Nguyen & Pär Österholm. (2022) Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations. Journal of Forecasting 42:2, pages 347-368.
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Joshua C.C. Chan & Rodney W. Strachan. (2020) BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. Journal of Economic Surveys 37:1, pages 58-75.
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Max Diegel. (2023) Unveiling Common Factors in Time-Varying Volatilities of VARs: A Data-Driven Approach with Applications to Macroeconomic Data. SSRN Electronic Journal.
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Malte Knüppel, Marc-Oliver Pohle & Fabian Krüger. (2023) Score-Based Calibration Testing for Multivariate Forecast Distributions. SSRN Electronic Journal.
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Elena Bobeica & Benny Hartwig. (2023) The COVID-19 shock and challenges for inflation modelling. International Journal of Forecasting 39:1, pages 519-539.
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Deborah Gefang, Gary Koop & Aubrey Poon. (2023) Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage. International Journal of Forecasting 39:1, pages 346-363.
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Jan Prüser. (2023) Data-based priors for vector error correction models. International Journal of Forecasting 39:1, pages 209-227.
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Michael Ellington, Xi Fu & Yunyi Zhu. (2023) Real estate illiquidity and returns: A time-varying regional perspective. International Journal of Forecasting 39:1, pages 58-72.
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Jiawen Luo, Hardik A. Marfatia, Qiang Ji & Tony Klein. (2023) Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets. Energy Economics 117, pages 106466.
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Benny Hartwig. (2022) Bayesian VARs and prior calibration in times of COVID-19. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Joshua C.C. Chan & Xuewen Yu. (2022) Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. Journal of Economic Dynamics and Control 143, pages 104505.
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Michael Ellington. (2022) Fat tails, serial dependence, and implied volatility index connections. European Journal of Operational Research 299:2, pages 768-779.
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Joshua C. C. Chan, Liana Jacobi & Dan Zhu. (2022) An automated prior robustness analysis in Bayesian model comparison. Journal of Applied Econometrics 37:3, pages 583-602.
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Jaeho Kim & Scott C. Linn. (2022) Price discovery under model uncertainty. Energy Economics 107, pages 105833.
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Hardik A. Marfatia, Qiang Ji & Jiawen Luo. (2021) Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility. Journal of Forecasting 41:2, pages 383-404.
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Joshua C. C. Chan. (2022) Asymmetric conjugate priors for large Bayesian VARs. Quantitative Economics 13:3, pages 1145-1169.
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Mike G. Tsionas, Marwan Izzeldin & Lorenzo Trapani. (2022) Estimation of large dimensional time varying VARs using copulas. European Economic Review 141, pages 103952.
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Barbara Rossi. (2021) Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them. Journal of Economic Literature 59:4, pages 1135-1190.
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Thomas B Götz & Klemens Hauzenberger. (2021) Large mixed-frequency VARs with a parsimonious time-varying parameter structure. The Econometrics Journal 24:3, pages 442-461.
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Joshua C.C. Chan. (2021) Minnesota-type adaptive hierarchical priors for large Bayesian VARs. International Journal of Forecasting 37:3, pages 1212-1226.
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Samantha Leorato & Maura Mezzetti. (2021) A Bayesian Factor Model for Spatial Panel Data with a Separable Covariance Approach. Bayesian Analysis 16:2.
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Jamie L. Cross & Aubrey Poon. (2019) On the contribution of international shocks in Australian business cycle fluctuations. Empirical Economics 59:6, pages 2613-2637.
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Petros Golitsis, Sotirios K. Bellos & Anastasios Alexandridis. (2020) The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model. Applied Economics Quarterly 66:4, pages 259-290.
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Bo Zhang, Joshua C.C. Chan & Jamie L. Cross. (2020) Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts. International Journal of Forecasting 36:4, pages 1318-1328.
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Joshua C.C. Chan, Eric Eisenstat & Rodney W. Strachan. (2020) Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics 218:1, pages 105-118.
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Joshua C. C. Chan, Eric Eisenstat, Chenghan Hou & Gary Koop. (2020) Composite likelihood methods for large Bayesian VARs with stochastic volatility. Journal of Applied Econometrics 35:6, pages 692-711.
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Joshua C. C. Chan, Liana Jacobi & Dan Zhu. (2020) Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation. Journal of Forecasting 39:6, pages 934-943.
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Joshua C. C. Chan. 2020. Macroeconomic Forecasting in the Era of Big Data. Macroeconomic Forecasting in the Era of Big Data 95 125 .
Jiawen Luo & Langnan Chen. (2019) Multivariate realized volatility forecasts of agricultural commodity futures. Journal of Futures Markets 39:12, pages 1565-1586.
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Andrea Carriero, Todd E. Clark & Massimiliano Marcellino. (2019) Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Journal of Econometrics 212:1, pages 137-154.
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James P. LeSage & Daniel Hendrikz. (2019) Large Bayesian vector autoregressive forecasting for regions: A comparison of methods based on alternative disturbance structures. The Annals of Regional Science 62:3, pages 563-599.
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Dimitrios P. Louzis. (2018) Steady‐state modeling and macroeconomic forecasting quality. Journal of Applied Econometrics 34:2, pages 285-314.
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Andrea Carriero, Todd E. Clark, Massimiliano Marcellino & Elmar Mertens. (2022) Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. SSRN Electronic Journal.
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Michael Ellington, Marcin Michalski & Costas Milas. (2021) Of Votes and Viruses: The UK Economy and Economic Policy Uncertainty. SSRN Electronic Journal.
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Michael Ellington. (2021) Fat Tails, Serial Dependence, and Implied Volatility Connections. SSRN Electronic Journal.
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Benny Hartwig. (2021) Bayesian VARs and Prior Calibration in Times of COVID-19. SSRN Electronic Journal.
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Todd E. Clark, Andrea Carriero, Massimiliano Marcellino & Elmar Mertens. (2021) Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. SSRN Electronic Journal.
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Renee Fry-McKibbin & Beili Zhu. (2021) How do Oil Shocks Transmit Through the US Economy? Evidence from a Large BVAR Model with Stochastic Volatility. SSRN Electronic Journal.
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Michael Ellington, Xi Fu & Yunyi Zhu. (2019) Real Estate Illiquidity and Returns. SSRN Electronic Journal.
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Deborah Gefang, Gary Koop & Aubrey Poon. (2019) Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage. SSRN Electronic Journal.
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Joshua C. C. Chan, Arnaud Doucet, Roberto Leon-Gonzalez & Rodney W. Strachan. (2018) Multivariate Stochastic Volatility with Co-Heteroscedasticity. SSRN Electronic Journal.
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Joshua C. C. Chan, Eric Eisenstat & Rodney W. Strachan. (2018) Reducing Dimensions in a Large TVP-VAR. SSRN Electronic Journal.
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Joshua Chan, Liana Jacobi & Dan Zhu. (2018) How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis. SSRN Electronic Journal.
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