Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

DOI10.1080/07350015.2018.1459302zbMATH Open1547.62587MaRDI QIDQ6626290

Pooyan Amir-Ahmadi, Mu-Chun Wang, Christian Matthes

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Hyperparameter estimation in forecast models.
• Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
• Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Forecasting and conditional projection using realistic prior distributions
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Contemporary Bayesian Econometrics and Statistics

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