A Gibbs sampler for structural vector autoregressions

DOI10.1016/S0165-1889(02)00168-9zbMATH Open1187.62149MaRDI QIDQ97972FDOQ97972

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

Publication date November 2003

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

Gibbs samplerimportance samplingsimultaneity

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1099382 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Block recursion and structural vector autoregressions
• Error Bands for Impulse Responses
• Identification of linear stochastic models with covariance restrictions
• Likelihood preserving normalization in multiple equation models
• Marginal Likelihood from the Gibbs Output
• Markov chains for exploring posterior distributions. (With discussion)
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Price flexibility in channels of distribution: Eevidence from scanner data.
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(21)

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

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