Priors about observables in vector autoregressions
type: Item
instance of: scholarly article
title: Priors about observables in vector autoregressions
zbMATH Open document ID: 1452.62650
author: Marek Jarociński
author: Albert Marcet
published in: Journal of Econometrics
publication date: 2019-04-30T00:00:00Z
full work available at URL: 92913.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7049036
zbMATH Keywords: Bayesian estimation
zbMATH Keywords: prior elicitation
zbMATH Keywords: inverse problem
zbMATH Keywords: structural vector autoregression
describes a project that uses: elicit-normlin
describes a project that uses: Dynare
MaRDI profile type: Publication
OpenAlex ID: W2169808538
cites work: Statistical decision theory and Bayesian analysis. 2nd ed
cites work: An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
cites work: Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics
cites work: On the Testability of Identification in Some Nonparametric Models With Endogeneity
cites work: A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
cites work: Introducing financial frictions and unemployment into a small open economy model
cites work: Forecasting and conditional projection using realistic prior distributions
cites work: Q3584739
cites work: Q3996621
cites work: Priors for the Long Run
cites work: Parametric Bayesian estimation of differential entropy and relative entropy
cites work: Priors for unit root models
cites work: Convergence of least squares learning mechanisms in self-referential linear stochastic models
cites work: Parametric Empirical Bayes Inference: Theory and Applications
cites work: Instrumental Variable Estimation of Nonparametric Models
cites work: Q3580347
cites work: Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
cites work: Matrices
cites work: Identifiability of Finite Mixtures
cites work: Q5659019
Wikidata QID: Q128415609
DOI: 10.1016/J.JECONOM.2018.12.023
description: scientific article; zbMATH DE number 7049036