Time-Varying Parameter Vector Autoregressions : Specification, Estimation, and an Application

Time-varying parameter vector autoregressions (TVP-VARs) have become a popular tool to study the dynamics of macroeconomic time series. In this article, we discuss the specification and estimation of this class of models with a focus on implementability. We provide a step-by-step guide for researchers interested in utilizing this methodology in their own research. Specifically, we discuss how to use Bayesian Gibbs-sampling techniques to easily conduct inference

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Year of publication:	2016
Authors:	Lubik, Thomas A.
Other Persons:	Matthes, Christian (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	VAR-Modell \| VAR model \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Bayes-Statistik \| Bayesian inference

Extent:	1 Online-Ressource (30 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economic Quarterly, Issue 4Q, pp. 323-352, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2015 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012979935