Block recursion and structural vector autoregressions

DOI10.1016/S0304-4076(98)00045-1zbMath1041.62519OpenAlexW2028308794MaRDI QIDQ1298471

Tao Zha

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00045-1

zbMATH Keywords

Structural VARLikelihoodBlock Monte Carlo methodsContemporaneously recursive blocksFinite samplesIdentifying restrictionsPosterior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (8)

Methods for inference in large multiple-equation Markov-switching models ⋮ Multipliers of unexpected increases in defense spending: an empirical investigation ⋮ A new posterior sampler for Bayesian structural vector autoregressive models ⋮ A Gibbs sampler for structural vector autoregressions ⋮ Macroeconomic uncertainty prices when beliefs are tenuous ⋮ Likelihood preserving normalization in multiple equation models ⋮ Joint Bayesian inference about impulse responses in VAR models ⋮ Price flexibility in channels of distribution: Eevidence from scanner data.

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