A Gibbs sampler for structural vector autoregressions

DOI10.1016/S0165-1889(02)00168-9zbMath1187.62149MaRDI QIDQ97972

Daniel F. Waggoner, Tao Zha, Tao Zha, Daniel F. Waggoner

Publication date: November 2003

Published in: Journal of Economic Dynamics and Control, Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

importance samplingGibbs samplersimultaneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (18)

Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Bayesian stochastic search for VAR model restrictions ⋮ Methods for inference in large multiple-equation Markov-switching models ⋮ Normalization in Econometrics ⋮ Debt and stabilization policy: evidence from a Euro area FAVAR ⋮ Unconventional monetary policy in a small open economy ⋮ Tentative evidence of tax foresight ⋮ The importance of supply and demand for oil prices: Evidence from non‐Gaussianity ⋮ A new posterior sampler for Bayesian structural vector autoregressive models ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ Methods for computing marginal data densities from the Gibbs output ⋮ Bayesian testing of restrictions on vector autoregressive models ⋮ Inference in Bayesian proxy-SVARs ⋮ bsvars ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Likelihood preserving normalization in multiple equation models ⋮ Unnamed Item ⋮ Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Cites Work

• Unnamed Item
• Unnamed Item
• Identification of linear stochastic models with covariance restrictions
• Block recursion and structural vector autoregressions
• Price flexibility in channels of distribution: Eevidence from scanner data.
• Likelihood preserving normalization in multiple equation models
• Markov chains for exploring posterior distributions. (With discussion)
• Marginal Likelihood from the Gibbs Output
• Using simulation methods for bayesian econometric models: inference, development,and communication
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Error Bands for Impulse Responses

This page was built for publication: A Gibbs sampler for structural vector autoregressions