Vector Autoregressions (VARs)
Bayesian compressed vector autoregressions
... Vector autoregressions (VARs) have been an important tool in macroeconomics since the seminal work of Sims ...large VARs involving dozens or hundreds of dependent variables (see, among many ...
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Bayesian vector autoregressions
... Vector Autoregressions (VARs) are linear multivariate time-series models able to capture the joint dynamics of multiple time ...with VARs, and suggested that Bayesian methods could have ...
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Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
... The narrative approach to shock identification has become increasingly popular in empirical macroeconomic analyses. This shift is based on the argument that con- ventional identification strategies that rely on zero or ...
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Prior selection for panel vector autoregressions
... the vector autoregressive (VAR) model; see Koop and Korobilis (2010) for a recent review of this vast ...panel vector autoregressive (PVAR) models; see Canova and Ciccarelli (2013) for a recent ...extend ...
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Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments
... Structural Vector Autoregressions (SVARs) with external instruments considering the case in which r instru- ments are used to identify g structural shocks of interest, r g ...
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Time Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean
... A second concern comes for the efficiency of the process. The multiple loops through time and the building of the states in a recursive fashion considerably slow down the procedure. It is not uncommon for time-varying ...
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Time Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean
... Different strategies have been adopted to overcome this inefficiency issue. Carriero et al. (2016) propose to estimate their large Bayesian VAR model equation by equation rather than jointly. Doing so considerably ...
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Macroeconomic dynamics and inflation regimes in the U S Results from threshold vector autoregressions
... Recent literature has presented evidence on structural change in U.S. macroeconomic dynamics as represented in VARs. For example, Mojon (2008) argues that shifts in the mean of the inflation equation are important ...
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Data based priors for vector autoregressions with drifting coefficients
... We have presented a framework for dealing efficiently with concerns of overfitting and overparametrization in time-varying parameter VARs. By means of data- based shrinkage priors we have managed to reduce the ...
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Forecasting in vector autoregressions with many predictors
... ature on different approaches to BMA in VARs (Strachan & van Dijk, 2007; Andersson & Karlsson, 2008). The innovation of the specific prior formulation is that it is more appropriate for VAR models compared ...
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A Direct Estimation of High Dimensional Stationary Vector Autoregressions
... The vector autoregressive (VAR) model is a powerful tool in learning complex time series and has been exploited in many ...the vector autoregression, is usually much higher than the time series length; On ...
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Regime dependent effects of monetary policy shocks Evidence from threshold vector autoregressions
... Since the mid 1990s a very successful research program has studied the effects of mone- tary policy on macroeconomic variables. These effects have been identified by estimat- ing the dynamic responses of output, ...
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Dynamic Sources of Sovereign Bond Market Liquidity
... 13: Vector Autoregression Table for on Bond Liquidity Equations Estimated for the Period ...of Vector Autoregressions of endogenous variables Industrial Production (IP), Consumer Price Index (CPI), ...
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Economic theory and econometric models
... "A Statistical Approach to Economic Forecasting", Journal of Business and Economic Statistics, Vol... "Forecasting with Bayesian Vector Autoregressions — Five Years of Experience", Journ[r] ...
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Relationship Between Unemployment and Entrepreneurship Dynamics in the Czech Regions: a Panel VAR Approach
... To investigate the dynamics of entrepreneurial activity and unemployment rate I estimate vector autoregressions (VAR). For the empirical estimation on the panel data, variables need to be stationary and one ...
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Clinical Utility of the Vanderbilt ADHD Rating Scale for Ruling Out Comorbid Learning Disorders
... the VARS items in combination with as- sessment of math functioning at school to determine whether a refer- ral is ...the VARS items should be used alone to determine whether to re- fer and therefore ...
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Forecasting with dimension switching VARs
... Abstract: This paper develops methods for Bayesian VAR forecasting when the researcher is uncertain about which variables enter the VAR and the dimension of the VAR may be changing over time. It considers the case where ...
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A REVIEW ON AUTOMOBILE AC BY UTILIZING WASTE HEAT AND GASES
... 397 | P a g e been designed to maximize capacity, not efficiency. From the reviews of various literatures there is an indication that reducing the A/C load decreases A/C fuel consumption. In the same line, an automobile ...
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Large time-varying parameter VARs
... In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive models (TVP-VARs). To overcome computational con- straints, we draw on ideas from the ...
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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
... as VARs, factor augmented VARs as well as time- varying parameter versions of these models (including variants with mul- tivariate stochastic ...discuss VARs, factor augmented VARs and ...
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