Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

DOI10.1080/07350015.2018.1459302MaRDI QIDQ6626290zbMATH OpenFDO

Authors Pooyan Amir-Ahmadi, Christian Matthes, Mu-Chun Wang

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2018.1459302

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Bayesian multivariate time series methods for empirical macroeconomics
• Contemporary Bayesian Econometrics and Statistics
• Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
• Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century
• Forecasting and conditional projection using realistic prior distributions
• Hyperparameter estimation in forecast models.
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Cited in

(3)

• Posterior manifolds over prior parameter regions: beyond pointwise sensitivity assessments for posterior statistics from MCMC inference
• The time-varying effects of skewness on the macroeconomy
• Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions

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