Template-Type: ReDIF-Paper 1.0 Author-Name: Ramis Khbaibullin Author-Email: KhabibullinRA@cbr.ru Author-Workplace-Name: Bank of Russia, Russian Federation Author-Name: Sergei Seleznev Author-Email: SeleznevSM@cbr.ru Author-Workplace-Name: Bank of Russia, Russian Federation Title: Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models Abstract: We illustrate the ability of the stochastic gradient variational Bayes algorithm, which is a very popular machine learning tool, to work with macrodata and macromodels. Choosing two approximations (mean-field and normalizing flows), we test properties of algorithms for a set of models and show that these models can be estimated fast despite the presence of estimated hyperparameters. Finally, we discuss the difficulties and possible directions of further research. Length: 49 pages Creation-Date: 2020-10 Revision-Date: Publication-Status: File-URL: http://cbr.ru/Content/Document/File/112571/wp-61_e.pdf File-Format: Application/pdf File-Function: Number:wps61 Classification-JEL: C11, C32, C32, C45, E17. Keywords: Stochastic gradient variational Bayes, normalizing flows, mean-field approximation, sparse Bayesian learning, BVAR, Bayesian neural network, DFM. Handle:RePEc:bkr:wpaper:wps61