Comparing hybrid time-varying parameter VARs

DOI10.1016/J.ECONLET.2018.06.031zbMath1402.62197OpenAlexW2811020458MaRDI QIDQ1787975

Eric Eisenstat, Joshua C. C. Chan

Publication date: 8 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/130080

zbMATH Keywords

marginal likelihoodstate spaceBayesian model comparison

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Asymmetric conjugate priors for large Bayesian VARs ⋮ Large Hybrid Time-Varying Parameter VARs ⋮ A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States

Uses Software

• bvarsv

Cites Work

• Fast computation of the deviance information criterion for latent variable models
• Large time-varying parameter VARs
• Efficient simulation and integrated likelihood estimation in state space models
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Hierarchical Shrinkage in Time‐Varying Parameter Models
• Marginal Likelihood Estimation with the Cross-Entropy Method
• Time Varying Structural Vector Autoregressions and Monetary Policy

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