Time varying VARs with inequality restrictions

DOI10.1016/J.JEDC.2011.02.001zbMATH Open1230.91163OpenAlexW1969346552MaRDI QIDQ545190FDOQ545190

Gary Koop, Simon Potter

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/

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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)

Cites Work

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

Cited In (8)

• Inference on stochastic time-varying coefficient models
• Exploring stochasticity and imprecise knowledge based on linear inequality constraints
• The Changing Transmission of Uncertainty Shocks in the U.S.
• Inequality Constrained State-Space Models
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Stochastic Model Specification Search for Time-Varying Parameter VARs
• 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

Uses Software

• R
• bvarsv

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