{"paper":{"title":"Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty","license":"http://creativecommons.org/licenses/by-nc-sa/4.0/","headline":"","cross_cats":[],"primary_cat":"econ.EM","authors_text":"Florian Huber, Massimiliano Marcellino, Nico Petz, Niko Hauzenberger","submitted_at":"2021-12-03T16:16:10Z","abstract_excerpt":"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. The main building block of our model is a Gaussian process prior on the functional relationship that determines the conditional mean of the model, hence the name of Gaussian process vector autoregression (GP-VAR). A flexible stochastic volatility specification is used to provide additional flexibility and control for heteroskedasticity. Markov chain Monte Carlo (MCMC) estimation is carried out through a"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2112.01995","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2112.01995/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}