The horseshoe prior for time-varying parameter VARs and monetary policy

DOI10.1016/j.jedc.2021.104188zbMath1475.91214OpenAlexW3176421453MaRDI QIDQ2246638

Jan Prüser

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104188

zbMATH Keywords

monetary policyTVP-VARglobal-local prior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items

Large Hybrid Time-Varying Parameter VARs ⋮ Modeling tail risks of inflation using unobserved component quantile regressions

Uses Software

• bvarsv

Cites Work

• Computing sunspot equilibria in linear rational expectations models
• The horseshoe+ estimator of ultra-sparse signals
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• Inference with normal-gamma prior distributions in regression problems
• Efficient simulation and integrated likelihood estimation in state space models
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• The horseshoe estimator for sparse signals
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Efficient Bayesian Inference for Dynamic Mixture Models
• Inference for VARs identified with sign restrictions
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)