Stochastic model specification search for time-varying parameter VARs

DOI10.1080/07474938.2015.1092808MaRDI QIDQ5864516zbMATH OpenOpenAlexFDO

Authors Eric Eisenstat, Joshua C. C. Chan, Rodney W. Strachan

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2014-03/23_2014_eisenstat_chan_strachan.pdf

zbMATH Keywords

Bayesian Lassofiscal policyshrinkage

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Bayesian multivariate time series methods for empirical macroeconomics
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Hierarchical shrinkage in time-varying parameter models
• scientific article; zbMATH DE number 3551729 (Why is no real title available?)
• scientific article; zbMATH DE number 1034042 (Why is no real title available?)
• On the evolution of the monetary policy transmission mechanism
• Random Effects Selection in Linear Mixed Models
• Statistical modeling and computation
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time varying VARs with inequality restrictions

Cited in

(15)

• Bayesian compressed vector autoregressions
• Parsimony inducing priors for large scale state-space models
• Relevant parameter changes in structural break models
• Reducing the state space dimension in a large TVP-VAR
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
• Detecting and analyzing the effects of time-varying parameters in DSGE models
• scientific article; zbMATH DE number 4149428 (Why is no real title available?)
• scientific article; zbMATH DE number 3926053 (Why is no real title available?)
• scientific article; zbMATH DE number 6755887 (Why is no real title available?)
• Model Selection and Shrinkage: An Overview
• Asymmetric conjugate priors for large Bayesian VARs
• Generalizing parametric models by introducing trial-by-trial parameter variability: the case of TVA
• Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
• Which global cycle? A stochastic factor selection approach for global macro-financial cycles

Describes a project that uses

Uses Software

• bvarsv

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