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Noncausal Bayesian vector autoregression
Lanne, Markku; Luoto, Jani - In: Journal of applied econometrics 31 (2016) 7, pp. 1392-1406
Persistent link: https://www.econbiz.de/10011687545
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Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - In: Journal of applied econometrics 29 (2014) 5, pp. 843-859
Persistent link: https://www.econbiz.de/10010414842
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Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
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An automated prior robustness analysis in Bayesian model comparison
Chan, Joshua; Jacobi, Liana; Zhu, Dan - In: Journal of applied econometrics 37 (2022) 3, pp. 583-602
Persistent link: https://www.econbiz.de/10013186701
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The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - In: Journal of applied econometrics 28 (2013) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10009733363
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Granger causality and regime inference in Markov switching VAR models with Bayesian methods
Droumaguet, Matthieu; Warne, Anders; Woźniak, Tomasz - In: Journal of applied econometrics 32 (2017) 4, pp. 802-818
Persistent link: https://www.econbiz.de/10011862238
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Mixed signals among tests for cointegration
Gregory, Allan W.; Haug, Alfred Albert; Lomuto, Nicoletta - In: Journal of applied econometrics 19 (2004) 1, pp. 89-98
Persistent link: https://www.econbiz.de/10001924682
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Permanent vs transitory components and economic fundamentals
Garratt, Anthony; Robertson, Donald; Wright, Stephen - In: Journal of applied econometrics 21 (2006) 4, pp. 521-542
Persistent link: https://www.econbiz.de/10003338662