Bayesian Vector Autoregressions with Stochastic Volatility

DOI10.2307/2171813zbMath0870.62092OpenAlexW2183337476MaRDI QIDQ4339081

Harald F. Uhlig

Publication date: 23 September 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/322e89da9a54c2940dafd9f96ce447fd69bb4109

zbMATH Keywords

conjugacystochastic volatilitynonlinear filteringmultivariate beta distributionprecision matrixvector autoregressionexact updating formulasimportance-sampling based approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Economic growth models (91B62)

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