Econometrics with system priors

DOI10.1016/j.econlet.2018.08.038zbMath1407.62421OpenAlexW2892133190WikidataQ129279231 ScholiaQ129279231MaRDI QIDQ1629650

Michal Andrle, Miroslav Plašil

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.08.038

zbMATH Keywords

Bayesian analysistime seriessystem priors

Mathematics Subject Classification ID

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

Cites Work

• Striated Metropolis-Hastings sampler for high-dimensional models
• Introducing financial frictions and unemployment into a small open economy model
• Testing for time variation in an unobserved components model for the U.S. economy
• A Prior for Impulse Responses in Bayesian Structural VAR Models

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