Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility
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DOI: 10.26509/frbc-wp-201929
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Cited by:
- Edward P. Herbst & Fabian Winkler, 2021. "The Factor Structure of Disagreement," Finance and Economics Discussion Series 2021-046, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
Vector autoregressions; sequential Monte Carlo; Rao-Blackwellization; particle filter; stochastic volatility;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-12-23 (Computational Economics)
- NEP-ECM-2019-12-23 (Econometrics)
- NEP-ETS-2019-12-23 (Econometric Time Series)
- NEP-ORE-2019-12-23 (Operations Research)
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