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 24 articles , 1 standard article )

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  1. Chan, Joshua C.C.; Eisenstat, Eric; Koop, Gary: Large Bayesian varmas (2016)
  2. Zareifard, Hamid; Rue, Håvard; Khaledi, Majid Jafari; Lindgren, Finn: A skew Gaussian decomposable graphical model (2016)
  3. Kalli, Maria; Griffin, Jim E.: Time-varying sparsity in dynamic regression models (2014)
  4. Kim, Dukpa: Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (2014)
  5. Bikbov, Ruslan; Chernov, Mikhail: Monetary policy regimes and the term structure of interest rates (2013)
  6. Chan, Joshua C.C.: Moving average stochastic volatility models with application to inflation forecast (2013)
  7. Fuentes-Albero, Cristina; Melosi, Leonardo: Methods for computing marginal data densities from the Gibbs output (2013)
  8. Koop, Gary; Korobilis, Dimitris: Large time-varying parameter VARs (2013)
  9. Valentini, Pasquale; Ippoliti, Luigi; Fontanella, Lara: Modeling US housing prices by spatial dynamic structural equation models (2013)
  10. Rondina, Francesca: The role of model uncertainty and learning in the US postwar policy response to oil prices (2012)
  11. Amisano, Gianni; Tristani, Oreste: Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations (2011)
  12. Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao: Minimal state variable solutions to Markov-switching rational expectations models (2011)
  13. Koop, Gary; Potter, Simon M.: Time varying VARs with inequality restrictions (2011)
  14. Andreasen, Martin M.: Stochastic volatility and DSGE models (2010)
  15. Lanne, Markku; Lütkepohl, Helmut; Maciejowska, Katarzyna: Structural vector autoregressions with Markov switching (2010)
  16. Malley, Jim; Woitek, Ulrich: Technology shocks and aggregate fluctuations in an estimated hybrid RBC model (2010)
  17. Canova, Fabio; Gambetti, Luca: Structural changes in the US economy: is there a role for monetary policy? (2009)
  18. Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W.: On the evolution of the monetary policy transmission mechanism (2009)
  19. Benati, Luca; Goodhart, Charles: Investigating time-variation in the marginal predictive power of the yield spread (2008)
  20. Milani, Fabio: Learning, monetary policy rules, and macroeconomic stability (2008)

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