bvarsv

bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.


References in zbMATH (referenced in 85 articles , 1 standard article )

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  1. Albuquerque, Bruno; Iseringhausen, Martin; Opitz, Frederic: Monetary policy and US housing expansions: the case of time-varying supply elasticities (2020)
  2. Caraiani, Petre; Dutescu, Adriana; Hoinaru, Răzvan; Stănilă, Georgiana Oana: Production network structure and the impact of the monetary policy shocks: evidence from the OECD (2020)
  3. Chan, Joshua C. C.; Eisenstat, Eric; Strachan, Rodney W.: Reducing the state space dimension in a large TVP-VAR (2020)
  4. Fisher, Jared D.; Pettenuzzo, Davide; Carvalho, Carlos M.: Optimal asset allocation with multivariate Bayesian dynamic linear models (2020)
  5. Karlsson, Sune; Österholm, Pär: The relation between the corporate bond-yield spread and the real economy: stable or time-varying? (2020)
  6. McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike: Multivariate Bayesian predictive synthesis in macroeconomic forecasting (2020)
  7. Nakajima, Jouchi: Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions” (2020)
  8. Tsang, Kwok Ping; Yang, Zichao: Price dispersion in bitcoin exchanges (2020)
  9. West, Mike: Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2020)
  10. Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP (2019) arXiv
  11. Bitto, Angela; Frühwirth-Schnatter, Sylvia: Achieving shrinkage in a time-varying parameter model framework (2019)
  12. Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano: Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors (2019)
  13. Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong; Zhuang, Xin-Tian: Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles (2019)
  14. Irie, Kaoru; West, Mike: Bayesian emulation for multi-step optimization in decision problems (2019)
  15. Kapetanios, George; Masolo, Riccardo M.; Petrova, Katerina; Waldron, Matthew: A time-varying parameter structural model of the UK economy (2019)
  16. Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide: Bayesian compressed vector autoregressions (2019)
  17. Korobilis, Dimitris; Pettenuzzo, Davide: Adaptive hierarchical priors for high-dimensional vector autoregressions (2019)
  18. McAlinn, Kenichiro; West, Mike: Dynamic Bayesian predictive synthesis in time series forecasting (2019)
  19. Moura, Guilherme V.; Noriller, Mateus R.: Maximum likelihood estimation of a TVP-VAR (2019)
  20. Neusser, Klaus: Time-varying rational expectations models (2019)

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