Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

DOI10.1016/J.JEDC.2020.103862MaRDI QIDQ97969zbMATH OpenOpenAlexFDO

Authors Helmut Lütkepohl, Tomasz Woźniak, Tomasz Woźniak, Helmut Lütkepohl

Publication date April 2020

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

Full work available at URL https://arxiv.org/abs/1811.08167

zbMATH Keywords

divisia moneyidentification through heteroskedasticitymonetary policy rulesSavage-Dickey density ratio

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 1122623 (Why is no real title available?)
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• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressive analysis
• Testing identification via heteroskedasticity in structural vector autoregressive models

Cited in

(8)

• Non-linear dimension reduction in factor-augmented vector autoregressions
• Monetary policy, external instruments, and heteroskedasticity
• bsvars
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Bayesian inference on structural impulse response functions
• Structural vector autoregressions with Markov switching
• Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
• A new posterior sampler for Bayesian structural vector autoregressive models

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