Work

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

Year: 2016

Type: article

Abstract: 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.

Source: Economic quarterly - Federal Reserve Bank of Richmond

DOI: 10.21144/eq1010403

Authors: Federal Reserve Bank of Richmond, Thomas Lubik, Christian Matthes, Federal Reserve Bank of Richmond

Institutions: Johns Hopkins University, Federal Reserve Bank of Richmond

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2561950352

FWCI: 7.647

Cites: 31

Cited by: 84

Related to: 10