bvarsv

swMATH11023CRANbvarsvMaRDI QIDQ22975

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

Fabian Krueger

Last update: 25 November 2015

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1

Source code repository: https://github.com/cran/bvarsv

Described by source

• Time Varying Structural Vector Autoregressions and Monetary Policy

Related Items (only showing first 100 items - show all)

Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy ⋮ DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY ⋮ Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation ⋮ 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 ⋮ Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule ⋮ Modeling time-variation over the business cycle (1960--2017): an international perspective ⋮ Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models ⋮ Unnamed Item ⋮ Fiscal policy uncertainty and US output ⋮ The role of uncertainty on agricultural futures markets momentum trading and volatility ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ An effcient exact Bayesian method for state space models with stochastic volatility ⋮ Macroeconomic uncertainty and forecasting macroeconomic aggregates ⋮ Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum ⋮ FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* ⋮ Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures ⋮ Predicting crypto‐currencies using sparse non‐Gaussian state space models ⋮ A skew Gaussian decomposable graphical model ⋮ MODELING THE EVOLUTION OF EXPECTATIONS AND UNCERTAINTY IN GENERAL EQUILIBRIUM ⋮ Unnamed Item ⋮ FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS ⋮ Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models ⋮ Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model ⋮ Bayesian semiparametric multivariate stochastic volatility with application ⋮ Specification tests for time-varying parameter models with stochastic volatility ⋮ Bayesian analysis of multivariate stochastic volatility with skew return distribution ⋮ Stochastic Model Specification Search for Time-Varying Parameter VARs ⋮ A state-space approach to time-varying reduced-rank regression ⋮ Large Bayesian VARMAs ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Modelling breaks and clusters in the steady states of macroeconomic variables ⋮ Methods for inference in large multiple-equation Markov-switching models ⋮ Investigating time-variation in the marginal predictive power of the yield spread ⋮ Learning, monetary policy rules, and macroeconomic stability ⋮ Structural vector autoregressions with Markov switching ⋮ Changes in the effects of monetary policy on disaggregate price dynamics ⋮ Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence ⋮ Measurement errors and monetary policy: then and now ⋮ Testing for time variation in an unobserved components model for the U.S. economy ⋮ The evolution of U.S. monetary policy: 2000--2007 ⋮ Keynesian economics without the Phillips curve ⋮ Learning about fiscal policy and the effects of policy uncertainty ⋮ On the stability of Calvo-style price-setting behavior ⋮ Debt regimes and the effectiveness of monetary policy ⋮ Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics ⋮ A topological view on the identification of structural vector autoregressions ⋮ Time-frequency regression ⋮ Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility ⋮ Explaining the time-varying effects of oil market shocks on US stock returns ⋮ Real-time forecast evaluation of DSGE models with stochastic volatility ⋮ Optimal asset allocation with multivariate Bayesian dynamic linear models ⋮ Monetary policy regimes and the term structure of interest rates ⋮ Revisiting the Great Moderation : policy or luck? ⋮ Macroeconomic effects of inflationary shocks with durable and non-durable consumption ⋮ Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility ⋮ Reducing the state space dimension in a large TVP-VAR ⋮ Methods for measuring expectations and uncertainty in Markov-switching models ⋮ Scalable inference for a full multivariate stochastic volatility model ⋮ Regime-switching cointegration ⋮ Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks ⋮ The role of model uncertainty and learning in the US postwar policy response to oil prices ⋮ Minimal state variable solutions to Markov-switching rational expectations models ⋮ Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations ⋮ Common time variation of parameters in reduced-form macroeconomic models ⋮ Oil-price density forecasts of US GDP ⋮ Steady-state priors and Bayesian variable selection in VAR forecasting ⋮ A Bayesian nonparametric Markovian model for non-stationary time series ⋮ Bayesian nonparametric vector autoregressive models ⋮ Production network structure and the impact of the monetary policy shocks: evidence from the OECD ⋮ Price dispersion in bitcoin exchanges ⋮ Monetary policy and US housing expansions: the case of time-varying supply elasticities ⋮ Methods for computing marginal data densities from the Gibbs output ⋮ Stochastic volatility with leverage: fast and efficient likelihood inference ⋮ Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles ⋮ Moving average stochastic volatility models with application to inflation forecast ⋮ Modeling US housing prices by spatial dynamic structural equation models ⋮ Large time-varying parameter VARs ⋮ Deciphering the causes for the post-1990 slow output recoveries ⋮ Measuring the natural rate of interest of China: a time varying perspective ⋮ A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States ⋮ Bayesian compressed vector autoregressions ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ Time-varying instrumental variable estimation ⋮ Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty ⋮ Learning and time-varying macroeconomic volatility ⋮ Search frictions and evolving labour market dynamics ⋮ On fiscal and monetary policy-induced macroeconomic volatility dynamics ⋮ The horseshoe prior for time-varying parameter VARs and monetary policy ⋮ Proxy vector autoregressions in a data-rich environment ⋮ Adaptive expectations and commodity risk premiums ⋮ The heterogeneous impact of monetary policy on the US labor market ⋮ Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle ⋮ Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system ⋮ Structural evolution of the postwar U.S. economy ⋮ Bayesian emulation for multi-step optimization in decision problems ⋮ Time varying VARs with inequality restrictions ⋮ Technology shocks and aggregate fluctuations in an estimated hybrid RBC model ⋮ Achieving shrinkage in a time-varying parameter model framework

This page was built for software: bvarsv