Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty

no code implementations • 3 Dec 2021 • Niko Hauzenberger, Florian Huber, Massimiliano Marcellino, Nico Petz

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values.

Time Series Time Series Analysis