Variational Inference for Large Bayesian Vector Autoregressions
Bibliographic Data
| ID | 19418783 |
|---|---|
| Authors | Mauro Bernardi (0000-0001-5759-9892, University of Padua), Daniele Bianchi (0000-0002-6621-0858, Queen Mary University of London, corresponding author), Nicolas Bianco (Universitat Pompeu Fabra) |
| Year | 2024 |
| Volume | 42 |
| Issue | 3 |
| Pages | 1066-1082 |
| Publication date | 2024-07-02 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2023.2290716 |
| OpenAlex | W4389337107 |
| Language | EN |
| Citations received | 1 |
| References cited | 37 |
We propose a novel variational Bayes approach to estimate high-dimensional Vector Autoregressive (VAR) models with hierarchical shrinkage priors.Our approach does not rely on a conventional structural representation of the parameter space for posterior inference.Instead, we elicit hierarchical shrinkage priors directly on the matrix of regression coefficients so that (a) the prior structure maps into posterior inference on the reduced-form transition matrix and (b) posterior estimates are more robust to variables permutation.An extensive simulation study provides evidence that our approach compares favorably against existing linear and nonlinear Markov chain Monte Carlo and variational Bayes methods.We investigate the statistical and economic value of the forecasts from our variational inference approach for a mean-variance investor allocating her wealth to different industry portfolios.The results show that more accurate estimates translate into substantial out-of-sample gains across hierarchical shrinkage priors and model dimensions
Autoregressive model · Bayes factor · Bayes' theorem · Bayesian inference · Bayesian linear regression · Bayesian probability · Econometrics · Inference · Markov chain Monte Carlo · Posterior probability · Prior probability · Statistical inference · Statistics · Computer Science · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics · Artificial Intelligence
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| Unique citing works | 1 |
|---|---|
| Citations per year | 1 |
| Citation span | 2025 - 2025 (1) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 1 |