Bayesian flexible local projections

DOI10.1515/SNDE-2023-0001MaRDI QIDQ6645250zbMATH OpenFDO

Authors Luca Brugnolini, Leopoldo Catania, Pernille Hansen, Paolo Santucci de Magistris

Publication date 28 November 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2023-0001

zbMATH Keywords

monetary policyvector autoregressionsimpulse response functionslocal projections

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 194951 (Why is no real title available?)
• scientific article; zbMATH DE number 3216810 (Why is no real title available?)
• Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
• Bias in local projections
• Forecasting and conditional projection using realistic prior distributions
• Impulse response analysis in nonlinear multivariate models
• Local projection inference is simpler and more robust than you think
• Local projections and VARs estimate the same impulse responses
• Nonlinear impulse response functions
• Optimal scaling for various Metropolis-Hastings algorithms.
• Prediction of multivariate time series by autoregressive model fitting
• Spike and slab variable selection: frequentist and Bayesian strategies

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