Stochastic Model Specification Search for Time-Varying Parameter VARs

DOI10.1080/07474938.2015.1092808zbMath1491.62206OpenAlexW1855936847MaRDI QIDQ5864516

Eric Eisenstat, Joshua C. C. Chan, Rodney W. Strachan

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2014-03/23_2014_eisenstat_chan_strachan.pdf

zbMATH Keywords

shrinkagefiscal policyBayesian Lasso

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Uses Software

• bvarsv

Cites Work

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• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Time varying VARs with inequality restrictions
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• Statistical Modeling and Computation
• Random Effects Selection in Linear Mixed Models
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Hierarchical Shrinkage in Time‐Varying Parameter Models
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Time Varying Structural Vector Autoregressions and Monetary Policy