A time-varying parameter structural model of the UK economy

DOI10.1016/j.jedc.2019.05.012zbMath1425.91271OpenAlexW2758833991WikidataQ127801369 ScholiaQ127801369MaRDI QIDQ2338502

Riccardo M. Masolo, George Kapetanios, Katerina Petrova, Matthew Waldron

Publication date: 21 November 2019

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

Full work available at URL: http://hdl.handle.net/10023/23267

zbMATH Keywords

open economyDSGE modelstime varying parametersUK economy

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Uses Software

• bvarsv

Cites Work

• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Structural changes in the US economy: is there a role for monetary policy?
• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• Inference on stochastic time-varying coefficient models
• Tailored randomized block MCMC methods with application to DSGE models
• Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
• Monopolistic Price Adjustment and Aggregate Output
• On Gibbs sampling for state space models
• A simple and efficient simulation smoother for state space time series analysis
• Time Varying Structural Vector Autoregressions and Monetary Policy

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