Bayesian inference on structural impulse response functions
From MaRDI portal
Publication:4629405
DOI10.3982/QE926zbMath1416.62676WikidataQ128417229 ScholiaQ128417229MaRDI QIDQ4629405
Publication date: 27 March 2019
Published in: Quantitative Economics (Search for Journal in Brave)
Bayesian inferencepartial identificationimpulse response functionWhittle likelihoodstructural vector autoregressionHamiltonian Monte Carlononinvertiblenews shockstructural vector moving average
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
Related Items (7)
Inference in Bayesian additive vector autoregressive tree models ⋮ Bayesian estimation of Gegenbauer processes ⋮ A new posterior sampler for Bayesian structural vector autoregressive models ⋮ Semiparametric Bayesian estimation of dynamic discrete choice models ⋮ Choosing between identification schemes in noisy-news models ⋮ Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading ⋮ Joint Bayesian inference about impulse responses in VAR models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
- Large Bayesian VARMAs
- Time series: theory and methods.
- Bayes inference in regression models with ARMA\((p,q)\) errors
- VAR analysis, nonfundamental representations, Blaschke matrices
- Whats news in news? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks
- Delta-method inference for a class of set-identified SVARs
- A survey of Bayesian predictive methods for model assessment, selection and comparison
- NONCAUSAL VECTOR AUTOREGRESSION
- Fiscal Foresight and Information Flows
- Bayesian and Frequentist Inference in Partially Identified Models
- Dynamic Identification of Dynamic Stochastic General Equilibrium Models
- A Prior for Impulse Responses in Bayesian Structural VAR Models
- Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity
- A Distributed Lag Estimator Derived from Smoothness Priors
- Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
- Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
- News, Non-Invertibility, and Structural VARs
- Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- DOES MONETARY POLICY GENERATE RECESSIONS?
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
This page was built for publication: Bayesian inference on structural impulse response functions
