Proxy vector autoregressions in a data-rich environment

DOI10.1016/j.jedc.2020.104046zbMath1478.62308OpenAlexW3001715003MaRDI QIDQ2246689

Martin Bruns

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.104046

zbMATH Keywords

monetary policyfactor-augmented VARstructural VARoil market shocksexternal instruments

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Factor-augmented vector autoregression with narrative identification. An application to monetary policy in the US

Uses Software

• bvarsv
• Gibbsit

Cites Work

• Unnamed Item
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Bayesian Measures of Model Complexity and Fit
• A narrative approach to a fiscal DSGE model
• Structural Vector Autoregressive Analysis
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Time Varying Structural Vector Autoregressions and Monetary Policy

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