Comparing hybrid time-varying parameter VARs
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Publication:1787975
DOI10.1016/J.ECONLET.2018.06.031zbMATH Open1402.62197OpenAlexW2811020458MaRDI QIDQ1787975FDOQ1787975
Authors: Joshua C. C. Chan, Eric Eisenstat 
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- Hierarchical shrinkage in time-varying parameter 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
- Marginal Likelihood Estimation with the Cross-Entropy Method
- Fast computation of the deviance information criterion for latent variable models
Cited In (6)
- Specification tests for time-varying parameter models with stochastic volatility
- A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States
- Dynamic probabilities of restrictions in state space models: an application to the Phillips curve
- Large Hybrid Time-Varying Parameter VARs
- Time varying structural VARs with sign restrictions: the case of Taiwan
- Asymmetric conjugate priors for large Bayesian VARs
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