Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Peter Reusens, Christophe Croux
| Year of publication: |
Sep 2017
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|---|---|
| Authors: | Reusens, Peter ; Croux, Christophe |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 4, p. 1-18
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| Subject: | inverse Wishart prior | Monte Carlo simulation | price puzzle | time varying parameter | vector autoregression | VAR-Modell | VAR model | Monte-Carlo-Simulation | Geldpolitik | Monetary policy | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2015-0018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011743732