Time varying VARs with inequality restrictions

DOI10.1016/J.JEDC.2011.02.001MaRDI QIDQ545190zbMATH OpenOpenAlexFDO

Authors Simon Potter, Gary Koop

Publication date 22 June 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/7731/

zbMATH Keywords

Markov chain Monte CarloMetropolis-HastingsBayesianstate space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Statistical methods; economic indices and measures (91B82)

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Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Bayes Factors
• Bayesian auxiliary variable models for binary and multinomial regression
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Dynamic probabilities of restrictions in state space models: an application to the Phillips curve
• Estimation in the Presence of Stochastic Parameter Variation
• On Gibbs sampling for state space models
• On the evolution of the monetary policy transmission mechanism
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The simulation smoother for time series models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(11)

• Stochastic model specification search for time-varying parameter VARs
• Inference on stochastic time-varying coefficient models
• Dynamic probabilities of restrictions in state space models: an application to the Phillips curve
• Exploring stochasticity and imprecise knowledge based on linear inequality constraints
• The Changing Transmission of Uncertainty Shocks in the U.S.
• Comparing hybrid time-varying parameter VARs
• Inequality Constrained State-Space Models
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Time varying structural VARs with sign restrictions: the case of Taiwan
• Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
• VEC-MSF models in Bayesian analysis of short- and long-run relationships

Describes a project that uses

Uses Software

• bvarsv
• R

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