Stochastic model specification search for time-varying parameter VARs
DOI10.1080/07474938.2015.1092808zbMATH Open1491.62206OpenAlexW1855936847MaRDI QIDQ5864516FDOQ5864516
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
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Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
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- Hierarchical Shrinkage in Time‐Varying Parameter Models
- Bayesian multivariate time series methods for empirical macroeconomics
- Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
- Random Effects Selection in Linear Mixed Models
- An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
- Time varying VARs with inequality restrictions
- Statistical Modeling and Computation
- Title not available (Why is that?)
- On the evolution of the monetary policy transmission mechanism
Cited In (13)
- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Title not available (Why is that?)
- Parsimony inducing priors for large scale state-space models
- Bayesian compressed vector autoregressions
- Title not available (Why is that?)
- Model Selection and Shrinkage: An Overview
- Title not available (Why is that?)
- Asymmetric conjugate priors for large Bayesian VARs
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- Generalizing parametric models by introducing trial-by-trial parameter variability: the case of TVA
- Relevant parameter changes in structural break models
- Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
- Reducing the state space dimension in a large TVP-VAR
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