Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues
Year of publication: |
2021
|
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Authors: | Pacifico, Antonio |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 9.2021, 2, p. 1-35
|
Publisher: |
Basel : MDPI |
Subject: | Bayesian methods | Central-Eastern and Western Europe | change-points | endogeneity issues | multivariate time-varying volatility | structural panel VAR |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics9020020 [DOI] 1761248820 [GVK] hdl:10419/247610 [Handle] |
Classification: | A1 - General Economics ; C01 - Econometrics ; E02 - Institutions and the Macroeconomy ; H3 - Fiscal Policies and Behavior of Economic Agents ; N01 - Development of the Discipline: Historiographical; Sources and Methods ; O4 - Economic Growth and Aggregate Productivity |
Source: |
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Pacifico, Antonio, (2021)
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Pacifico, Antonio, (2022)
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Real Oil Price Forecasting : Gains and Weaknesses of Text Data
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Pacifico, Antonio, (2019)
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