Priors about observables in vector autoregressions

DOI10.1016/j.jeconom.2018.12.023zbMath1452.62650OpenAlexW2169808538WikidataQ128415609 ScholiaQ128415609MaRDI QIDQ1740294

Albert Marcet, Marek Jarociński

Publication date: 30 April 2019

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

Full work available at URL: http://pareto.uab.es/wp/2013/92913.pdf

zbMATH Keywords

inverse problemBayesian estimationprior elicitationstructural vector autoregression

Mathematics Subject Classification ID

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

Uses Software

• Dynare
• elicit-normlin

Cites Work

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