Comparing hybrid time-varying parameter VARs

DOI10.1016/J.ECONLET.2018.06.031MaRDI QIDQ1787975zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

marginal likelihoodBayesian model comparisonstate space

Mathematics Subject Classification ID

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

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Cites work

• Efficient simulation and integrated likelihood estimation in state space models
• Fast computation of the deviance information criterion for latent variable models
• Hierarchical shrinkage in time-varying parameter models
• Large time-varying parameter VARs
• Marginal Likelihood Estimation with the Cross-Entropy Method
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Time Varying Structural Vector Autoregressions and Monetary Policy

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

Describes a project that uses

Uses Software

• bvarsv

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