Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models

DOI10.1515/snde-2015-0018OpenAlexW2751617871MaRDI QIDQ2691713

Peter Reusens, Christophe Croux

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0018

zbMATH Keywords

Monte Carlo simulationvector autoregressiontime varying parameterprice puzzleinverse Wishart prior

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

• dlm
• bayesm
• bvarsv

Cites Work

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• Time Varying Structural Vector Autoregressions and Monetary Policy
• Stochastic Model Specification Search for Time-Varying Parameter VARs

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