Large Bayesian VARMAs

DOI10.1016/j.jeconom.2016.02.005zbMath1420.62373OpenAlexW1544856843MaRDI QIDQ281043

Eric Eisenstat, Joshua C. C. Chan, Gary Koop

Publication date: 10 May 2016

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

Full work available at URL: https://strathprints.strath.ac.uk/56465/1/Chan_etal_JE_2016_Large_Bayesian_VARMAs.pdf

zbMATH Keywords

Markov chain Monte CarloBayesianstochastic search variable selectionVARMA identification

Mathematics Subject Classification ID

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

Related Items (9)

High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ Relevant parameter changes in structural break models ⋮ Variable targeting and reduction in large vector autoregressions with applications to workforce indicators ⋮ High-dimensional conditionally Gaussian state space models with missing data ⋮ Choosing between identification schemes in noisy-news models ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ Bayesian inference on structural impulse response functions ⋮ Identifying noise shocks

Uses Software

• bvarsv

Cites Work

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• Bayesian stochastic search for VAR model restrictions
• Pitfalls of estimating the marginal likelihood using the modified harmonic mean
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• On the study of some functions of multivariate ARMA processes
• Identification of echelon canonical forms for vector linear processes using least squares
• Business cycle analysis without much theory: A look at structural VARs
• Moving average stochastic volatility models with application to inflation forecast
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• Partially Collapsed Gibbs Samplers
• The Identification and Parameterization of Armax and State Space Forms
• A Unified Approach to Identifying Multivariate Time Series Models
• Forecasting and conditional projection using realistic prior distributions
• Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
• Time Varying Structural Vector Autoregressions and Monetary Policy

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