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Details about Gary Koop
Access statistics for papers by Gary Koop.
Last updated 2025-04-24. Update your information in the RePEc Author Service.
Short-id: pko8
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Working Papers
2026
- A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors
Working Papers, Federal Reserve Bank of Cleveland 
- Incorporating Micro Data into Macro Models Using Pseudo VARs
Working Papers, Federal Reserve Bank of Cleveland
2025
- Decision synthesis in monetary policy
Papers, arXiv.org
Also in Staff Working Papers, Bank of Canada (2024) View citations (5)
2024
- Bayesian modelling of VAR precision matrices using stochastic block networks
Papers, arXiv.org
2023
- Bayesian Forecasting in Economics and Finance: A Modern Review
Papers, arXiv.org View citations (4)
- Bayesian Forecasting in the 21st Century: A Modern Review
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Bayesian Modeling of TVP-VARs Using Regression Trees
Papers, arXiv.org
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023)
- Bayesian Modeling of Time-Varying Parameters Using Regression Trees
Working Papers, Federal Reserve Bank of Cleveland
- Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
Papers, arXiv.org View citations (3)
Also in Working Papers, University of Strathclyde Business School, Department of Economics
See also Journal Article Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) View citations (3) (2024)
- Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks
Papers, arXiv.org
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023)
- Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
Working Papers, University of Strathclyde Business School, Department of Economics View citations (3)
Also in Working Papers, Federal Reserve Bank of Cleveland (2023) View citations (4)
- Predictive Density Combination Using a Tree-Based Synthesis Function
Staff Working Papers, Bank of Canada
Also in Papers, arXiv.org (2023)
Working Papers, Federal Reserve Bank of Cleveland (2023)
2022
- Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
Papers, arXiv.org View citations (13)
See also Journal Article APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2022) View citations (10) (2022)
- Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix
Working Papers, University of Strathclyde Business School, Department of Economics View citations (6)
- Forecasting US Inflation Using Bayesian Nonparametric Models
Working Papers, Federal Reserve Bank of Cleveland View citations (7)
Also in Papers, arXiv.org (2022) View citations (10)
- Reconciled Estimates of Monthly GDP in the US
Working Papers, Federal Reserve Bank of Cleveland View citations (7)
Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2020) View citations (6)
- Tail Forecasting with Multivariate Bayesian Additive Regression Trees
CEPR Discussion Papers, Centre for Economic Policy Research
Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (9)
See also Journal Article TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (32) (2023)
- Using hierarchical aggregation constraints to nowcast regional economic aggregates
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (3)
- Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
2021
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
Papers, arXiv.org View citations (10)
See also Journal Article Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (20) (2022)
- Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
Working Papers, University of Strathclyde Business School, Department of Economics View citations (7)
Also in Papers, arXiv.org (2021) View citations (10)
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
Papers, arXiv.org View citations (18)
See also Journal Article Large Order-Invariant Bayesian VARs with Stochastic Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (22) (2024)
- Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
- Nowcasting 'true' monthly US GDP during the pandemic
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
See also Journal Article NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC, National Institute Economic Review, National Institute of Economic and Social Research (2021) View citations (2) (2021)
- Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
Also in Papers, arXiv.org (2020) View citations (32)
Working Paper Series, European Central Bank (2021) View citations (6)
See also Journal Article Nowcasting in a pandemic using non-parametric mixed frequency VARs, Journal of Econometrics, Elsevier (2023) View citations (31) (2023)
- Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
Papers, arXiv.org View citations (2)
See also Journal Article Subspace shrinkage in conjugate Bayesian vector autoregressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (2) (2023)
2020
- Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
Papers, arXiv.org View citations (8)
- Bayesian dynamic variable selection in high dimensions
MPRA Paper, University Library of Munich, Germany View citations (14)
Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (13)
Papers, arXiv.org (2020) View citations (14)
See also Journal Article BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (13) (2023)
- Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (15)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) View citations (15) (2020)
2019
- Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Papers, arXiv.org View citations (20)
Also in Working Paper Series, European Central Bank (2019) View citations (9)
Working Papers in Economics, University of Salzburg (2019) View citations (11)
See also Journal Article Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (31) (2021)
- Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (14)
Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2019) View citations (14)
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (14)
2018
- Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (10)
See also Journal Article Composite likelihood methods for large Bayesian VARs with stochastic volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (9) (2020)
- Exchange rate predictability and dynamic Bayesian learning
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association View citations (3)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (2)
See also Journal Article Exchange rate predictability and dynamic Bayesian learning, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (23) (2020)
- Forecasting with High-Dimensional Panel VARs
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
Also in Working Papers, Business School - Economics, University of Glasgow (2015) | |
