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

DOI10.1016/J.JEDC.2020.103862OpenAlexW3005707205MaRDI QIDQ97969FDOQ97969

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

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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)

Cites Work

• Finite mixture and Markov switching models.
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• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Structural vector autoregressions with Markov switching
• Calculating posterior distributions and modal estimates in Markov mixture models
• A generalization of the beta distribution with applications
• On the use of marginal posteriors in marginal likelihood estimation via importance sampling
• Estimating the marginal likelihood using the arithmetic mean identity
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Some Generalized Functions for the Size Distribution of Income
• Sampling-Based Approaches to Calculating Marginal Densities
• Title not available (Why is that?)
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Sign restrictions, structural vector autoregressions, and useful prior information
• Forecasting and conditional projection using realistic prior distributions
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Bayes Factors
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Structural vector autoregressive analysis

Cited In (8)

• Non-linear dimension reduction in factor-augmented vector autoregressions
• Monetary policy, external instruments, and heteroskedasticity
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Bayesian inference on structural impulse response functions
• bsvars
• 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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