A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification
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DOI: 10.26509/frbc-wp-201811
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- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024.
"Large Order-Invariant Bayesian VARs with Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
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"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
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- Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
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"Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
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More about this item
Keywords
structural vector autoregressions; time-varying parameters; Gibbs sampling; stochastic volatility; Bayesian inference;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-09-17 (Econometrics)
- NEP-ETS-2018-09-17 (Econometric Time Series)
- NEP-MAC-2018-09-17 (Macroeconomics)
- NEP-ORE-2018-09-17 (Operations Research)
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