This repository contains the code and data used to obtain simulation study and applications results for "NIRVAR: Network Informed Restricted Vector Autoregression ...
Vector Autoregression (VAR) is a statistical model used to capture the linear interdependencies among multiple time series data. It generalizes the univariate autoregressive model to multiple time ...
Abstract: This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly ...
Abstract: This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly ...
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