Time varying VARs with inequality restrictions

DOI10.1016/j.jedc.2011.02.001zbMath1230.91163OpenAlexW1969346552MaRDI QIDQ545190

Simon M. Potter, Gary Koop

Publication date: 22 June 2011

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

Full work available at URL: https://strathprints.strath.ac.uk/7731/

zbMATH Keywords

Markov chain Monte Carlostate space modelBayesianMetropolis-Hastings

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Exploring stochasticity and imprecise knowledge based on linear inequality constraints ⋮ Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions ⋮ VEC-MSF models in Bayesian analysis of short- and long-run relationships ⋮ Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models ⋮ Inference on stochastic time-varying coefficient models ⋮ Stochastic Model Specification Search for Time-Varying Parameter VARs

Uses Software

• R
• bvarsv

Cites Work

• On the evolution of the monetary policy transmission mechanism
• Estimation in the Presence of Stochastic Parameter Variation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• A simple and efficient simulation smoother for state space time series analysis
• The simulation smoother for time series models
• Bayes Factors
• Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Bayesian auxiliary variable models for binary and multinomial regression

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