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Gary Koop

As seen in: Wiley Online Library, Journal of International Money and Finance, Taylor & Francis Online, International Journal of Forecasting
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Articles by Gary Koop

Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix

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By Ping Wu, Gary Koop
| Taylor & Francis Online
Advanced search Journal of Business & Economic Statistics Latest Articles Submit an article Journal homepage Full Article Figures & data References Supplemental Citations Metrics Reprints & Permissions Read this article /doi/full/10.1080/07350015.2025.2560369?needAccess=true Accepted author version Abstract Bayesian inference in Vector Autoregressions (VARs) involves manipulating large matrices which appear in the posterior (or conditional posterior) of the VAR coefficients.
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PREDICTIVE DENSITY COMBINATION USING BAYESIAN MACHINE LEARNING

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By Niko Hauzenberger, Florian Huber, Gary Koop, Tony Chernis
| Wiley Online Library Verified
1 INTRODUCTION Forecasts of macroeconomic and financial variables are used by forward-looking decision makers, not least by central banks given that changes in their policy tools take time to have an impact on the macroeconomy. This requires them to set monetary policy targeting forecasts of future macroeconomic values (e.g., see Woodford, 2007).
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Bayesian dynamic variable selection in high dimensions

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By Gary Koop
| mpra.ub.uni-muenchen.de
References: Bauwens, L., G. Koop, D. Korobilis, and J. V. Rombouts (2015): The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, 30, 596-620. Beal, M. J. and Z. Ghahramani (2003): The Variational Bayesian EM Algorithm for Incomplete Data With Application to Scoring Graphical Model Structures, in Bayesian Statistics, ed. by J. M. Bernardo, M. J. Bayarri, J. O. Berger, A. P. Dawid, D. Heckerman, A. F. M. Smith, and M.
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