A Gibbs sampler for structural vector autoregressions
DOI10.1016/S0165-1889(02)00168-9zbMATH Open1187.62149MaRDI QIDQ97972FDOQ97972
Authors: Daniel F. Waggoner, Tao Zha, Daniel F. Waggoner, Tao Zha 
Publication date: November 2003
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Recommendations
- A new posterior sampler for Bayesian structural vector autoregressive models
- A Gibbs sampling approach to cointegration
- Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
- GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS
- Bayesian inference on GARCH models using the Gibbs sampler
- A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84)
Cites Work
- Markov chains for exploring posterior distributions. (With discussion)
- Identification of linear stochastic models with covariance restrictions
- Block recursion and structural vector autoregressions
- Price flexibility in channels of distribution: Eevidence from scanner data.
- Likelihood preserving normalization in multiple equation models
- Marginal Likelihood from the Gibbs Output
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Title not available (Why is that?)
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- Error Bands for Impulse Responses
- Title not available (Why is that?)
Cited In (21)
- Bayesian testing of restrictions on vector autoregressive models
- Likelihood preserving normalization in multiple equation models
- Tentative evidence of tax foresight
- Inference in Bayesian proxy-SVARs
- Striated Metropolis-Hastings sampler for high-dimensional models
- Bayesian stochastic search for VAR model restrictions
- Testing for Granger causality in large mixed-frequency VARs
- The limiting distribution of the Gibbs sampler for the intrinsic conditional autoregressive model
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Relationships among prices of rubber in ASEAN: Bayesian structural VAR model
- Methods for inference in large multiple-equation Markov-switching models
- The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
- Methods for computing marginal data densities from the Gibbs output
- Normalization in Econometrics
- Debt and stabilization policy: evidence from a Euro area FAVAR
- bsvars
- Unconventional monetary policy in a small open economy
- Large Bayesian SVARs with linear restrictions
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
- A new posterior sampler for Bayesian structural vector autoregressive models
This page was built for publication: A Gibbs sampler for structural vector autoregressions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q97972)
